<PAGE>
===============================================================================
DFA Investment Dimensions Group Inc.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
Annual Report
Period Ended November 30, 1995
===============================================================================
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
------
<S> <C>
Performance Charts .................................................... 1
Statements of Net Assets
VA Small Value Portfolio ......................................... 2-6
VA Large Value Portfolio ......................................... 7-8
VA International Value Portfolio .................................. 9-11
VA International Small Portfolio .................................. 12-15
VA Short-Term Fixed Portfolio ..................................... 16
VA Global Bond Portfolio ......................................... 17
Statements of Operations .............................................. 18-19
Statements of Changes in Net Assets .................................... 20-21
Financial Highlights .................................................. 22-23
Notes to Financial Statements ......................................... 24-28
Report of Independent Accountants ...................................... 29
</TABLE>
This report is submitted for the information of the Fund's stockholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DFA INVESTMENT DIMENSIONS GROP INC.
PERFORMANCE CHARTS
==============================================================================
VA Large Value Portfolio
vs. Fama-French Large Cap Value Index
January 1995-November 1995
The following reflects the growth of a $10,000 investment.
VA
Large Value Fama-French
Portfolio Index
------------- -----------
9412 10000 10000
9501 9917 10390
9502 10227.4 10873.14
9503 10578.2 10914.45
9504 10898.72 11263.72
9505 11149.39 11867.45
9506 11219.63 12063.26
9507 11771.64 12425.16
9508 11701.01 12652.54
9509 11922.16 13163.7
9510 11510.84 12875.42
9511 12073.72 13347.95
From
Total Return (%) January 1995
- ------------------------------------------------------------------------------
20.74
* The portfolio seeks to capture return
premiums associated with high book-to-
market ratios by investing in the U.S.
Large Cap Value Series of the DFA
Investment Trust Company which in turn
invests on a market cap-weighted basis
in companies that have market caps of
approximately $500 million or less and
book-to-market ratios in the upper 30%
of publicly traded companies.
* This was a new portfolio and its year-to-
date returns in fiscal 1995 reflected the
performance of large U.S. companies
with high book-to-market ratios.
Past performance is not predictive of
future performance.
Fama-French Large Cap Value Index courtesy of
the Fama-French and CRSP, University of
Chicago.
- ------------------------------------------------------------------------------
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROP INC.
PERFORMANCE CHARTS
==============================================================================
VA Global Bond Portfolio
vs. Salomon World Fixed Income Index
January 1995-November 1995
The following reflects the growth of a $10,000 investment.
VA Salomon
Global Bond World Fixed
Portfolio Income Index
------------ ------------
9412 10000 10000
9501 10081 10138
9502 10237.26 10296.15
9503 10422.55 10463.98
9504 10568.47 10619.89
9505 10798.86 10990.53
9506 10805.34 11007.01
9507 10903.67 11081.86
9508 10940.74 11174.95
9509 11080.78 11329.16
9510 11169.43 11467.38
9511 11359.31 11685.26
From
Total Return (%) January 1995
- ------------------------------------------------------------------------------
13.59
* DFA Global Fixed Income Portfolio
invests in U.S. and international
government bonds, debt guaranteed by
foreign governments, high quality
corporate debt and debt of supranational
issuers with maturities of 10 years or
less. Eligible countries: United States,
Canada, United Kingdom, Germany,
Japan, France and Australia. The
portfolio is diversified across countries.
Using current prices the strategy creates
a matrix of expected horizon returns
from different buy and sell strategies
and identifies the maturity range with
the highest expected returns. Maturities
are shifted only if sufficient premiums
warrant it. Country weighing is
increased or reduced based on expected
returns. The portfolio may be
concentrated in the U.S. if international
curves are inverted.
* This was a new portfolio and its year-to-
date returns in fiscal 1995 reflected the
performance of its strategy.
Past performance is not predictive of
future performance.
Salomon World Fixed Index courtesy of Salomon
Brothers.
- ------------------------------------------------------------------------------
2
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENT OF NET ASSETS
VA SMALL VALUE PORTFOLIO
NOVEMBER 30, 1995
Shares Value+
-------- -------
COMMON STOCKS -- (99.1%)
AAR Corp. ....................... 1,400 $25,725
*Accell International Corp. ...... 400 1,100
*Acceptance Insurance Companies,
Inc. .......................... 1,300 19,013
Aceto Corp. ..................... 400 6,800
*Acme Metals, Inc. ............... 1,000 15,438
*Adage, Inc. ..................... 400 1,775
*Advanced Logic Research, Inc. ... 1,000 7,250
*Advanced Marketing Services, Inc. 500 4,656
*Advanced Technology Labs, Inc. .. 1,100 23,375
Advantage Bancorp, Inc. ......... 200 6,950
*Advest Group, Inc. .............. 700 6,300
*Aeroflex, Inc. .................. 1,000 4,500
*Aerovox, Inc. ................... 400 2,300
Airborne Freight Corp. .......... 1,800 50,606
*Alamco, Inc. .................... 400 3,400
*Alaska Air Group, Inc. .......... 1,100 19,938
Albank Financial Corp. .......... 1,000 29,875
*Ambar, Inc. ..................... 300 2,306
Amcast Industrial Corp. ......... 700 12,950
*American Banknote Corp. ......... 1,600 2,400
American Ecology Corp. .......... 700 2,800
American Heritage Life Investment
Corp. ......................... 1,200 24,150
*American Pacific Corp. .......... 700 4,025
American Recreation Centers, Inc. 400 2,600
*American Travellers Corp. ....... 900 22,669
*American Waste Services, Inc.
Class A ....................... 2,100 5,250
*American White Cross, Inc. ...... 600 1,538
*Ameriwood Industries
International Corp. ........... 400 1,825
Ameron, Inc. .................... 300 10,913
Ampco-Pittsburgh Corp. .......... 400 3,750
*Amrep Corp. ..................... 600 3,375
Analogic Corp. .................. 100 2,113
Andover Bancorp, Inc. DE ........ 400 8,925
Angelica Corp. .................. 800 17,900
*Ann Taylor Stores Corp. ......... 2,000 25,500
Arkansas Best Corp. ............. 1,700 13,919
*Artistic Greetings, Inc. ........ 500 1,500
Arvin Industries, Inc. .......... 1,900 33,488
Ashland Coal, Inc. .............. 1,200 26,100
*Astec Industries, Inc. .......... 900 9,844
*Astrosystems, Inc. .............. 400 2,300
*Astrotech International Corp. ... 800 3,350
*Atlantic Tele-Network, Inc. ..... 1,000 10,813
*Audiovox Corp. Class A .......... 800 5,200
Augat, Inc. ..................... 1,700 29,325
*Autoinfo, Inc. .................. 600 1,950
Aviall, Inc. .................... 800 6,800
*Aydin Corp. ..................... 400 6,200
*Aztar Corp. ..................... 3,300 28,875
Aztec Manufacturing Co. ......... 500 1,813
BEI Electronics, Inc. ........... 600 3,863
BSB Bancorp, Inc. ............... 400 13,800
Badger Meter, Inc. .............. 100 2,375
Bairnco Corp. ................... 900 4,613
Baker (J.), Inc. ................ 1,200 7,575
*Baker (Michael) Corp. ........... 700 3,500
*Baldwin Piano & Organ Co. ....... 300 3,788
*Baldwin Technology, Inc. Class A 1,400 7,350
*Bally Entertainment Corp. ....... 4,000 48,482
Bankers Corp. ................... 1,100 18,906
*Banner Aerospace, Inc. .......... 200 1,050
*Basin Exploration, Inc. ......... 900 4,050
Bassett Furniture Industries,
Inc. .......................... 1,200 26,925
Bay View Capital Corp. .......... 600 16,988
*Bayou Steel Corp. Class A ....... 900 3,938
*Be Aerospace, Inc. .............. 1,400 12,600
*Beazer Homes USA, Inc. .......... 700 13,475
*Bel Fuse, Inc. .................. 400 4,600
Bell Bancorp, Inc. .............. 800 25,900
*Ben Franklin Retail Stores, Inc. 500 1,813
*Berlitz International, Inc. ..... 900 14,175
*Bertuccis, Inc. ................. 700 3,544
Binks Manufacturing Co. ......... 300 7,350
3
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------
*Bird Corp. ...................... 400 $ 2,475
*Bon-Ton Stores, Inc. ............ 900 4,950
*Boomtown, Inc. .................. 800 4,900
*Borror Corp. .................... 300 1,069
*Brown & Sharpe Manufacturing Co.
Class A ....................... 700 7,088
*Builders Transport, Inc. ........ 400 3,400
*Buttrey Food & Drug Stores Co. .. 700 4,988
CPB, Inc. ....................... 200 6,650
*CSP, Inc. ....................... 200 1,800
*CTL Credit, Inc. ................ 300 4,275
CTS Corp. ....................... 400 14,450
California Financial Holding
Corp. ......................... 400 8,375
Calmat Co. ...................... 1,300 22,425
Capital Re Corp. ................ 1,200 36,000
*Capsure Holdings Corp. .......... 1,300 18,363
*Care Group, Inc. ................ 700 1,859
*Carlisle Plastics, Inc. Class A . 1,500 6,656
Carter-Wallace, Inc. ............ 2,900 32,988
Cash America International, Inc. 2,400 13,200
*Catalina Lighting, Inc. ......... 600 3,000
*Catherines Stores Corp. ......... 500 4,094
Cenfed Financial Corp. .......... 400 9,150
Cenit Bancorp, Inc. ............. 100 3,688
Chaparral Steel Co. ............. 1,000 10,500
*Charming Shoppes, Inc. .......... 8,800 20,625
*Chart House Enterprises, Inc. ... 700 4,550
*Cherry Corp. Class A ............ 600 6,075
*Cherry Corp. Class B ............ 400 4,050
*Chic by His, Inc. ............... 1,000 5,375
*Chock Full O' Nuts Corp. ........ 500 2,875
*Cimco, Inc. ..................... 300 2,869
*Citation Insurance Group ........ 500 2,219
Citfed Bancorp, Inc. ............ 400 13,700
*Civic Bancorp ................... 400 3,025
*Clean Harbors, Inc. ............. 800 2,400
*Cliffs Drilling Co. ............. 300 4,200
*Clothestime, Inc. ............... 1,200 1,913
Co-Operative Bank of Concord, MA 300 5,438
*Coast Savings Financial, Inc. ... 1,600 47,800
*Coho Energy, Inc. ............... 1,400 6,563
4
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------ -------
Commercial Metals Co. ........... 1,300 $30,550
Community Psychiatric Centers ... 3,700 41,163
Computer Data Systems, Inc. ..... 500 7,125
*Concord Fabrics, Inc. Class A ... 200 775
Continental Homes Holding Corp. . 600 11,025
Core Industries, Inc. ........... 800 11,000
*Cortech, Inc. ................... 1,500 2,531
*Criticare Systems, Inc. ......... 600 1,875
*Crown Central Petroleum Corp.
Class A ....................... 400 5,650
Crown Crafts, Inc. .............. 700 8,575
*Crown-Andersen, Inc. ............ 100 781
Cubic Corp. ..................... 500 11,938
*Cygne Designs, Inc. ............. 1,100 1,581
*D&N Financial Corp. ............. 600 7,088
*DBA Systems, Inc. ............... 400 2,025
*DS Bancor, Inc. ................. 210 5,145
*Damark International, Inc.
Class A ....................... 800 5,350
*Data Race, Inc. ................. 400 1,838
*Dataflex Corp. .................. 400 2,000
*Datakey, Inc. ................... 200 1,100
*Datron Systems, Inc. ............ 200 3,850
*Datum, Inc. ..................... 300 2,981
*Daxor Corp. ..................... 400 2,650
*De Soto, Inc. ................... 400 1,600
Deb Shops, Inc. ................. 1,100 4,022
Defiance, Inc. .................. 600 4,463
Delchamps, Inc. ................. 200 3,500
Delta Woodside Industries, Inc. . 2,100 13,650
*Designs, Inc. ................... 1,300 10,400
*Detection Systems, Inc. ......... 200 1,350
*Devcon International Corp. ...... 400 3,025
*Dianon Systems, Inc. ............ 500 1,906
*Digicon, Inc. ................... 900 5,400
*Dime Financial Corp. ............ 400 4,800
Dixie Yarns, Inc. ............... 1,000 3,938
Douglas & Lomason Co. ........... 400 4,550
*Dress Barn, Inc. ................ 1,900 17,338
*Drug Emporium, Inc. ............. 1,100 4,538
*Duplex Products, Inc. ........... 600 4,575
Dyersburg Corp. ................. 1,100 5,225
Dynamics Corp. of America ....... 300 6,975
*E-Z-Em, Inc. Class A ............ 300 3,000
*ESCO Electronics Corp. Trust
Receipts ...................... 900 7,200
Eastern Bancorp, Inc. ........... 200 5,400
Eastern Co. ..................... 200 2,250
Eaton Vance Corp. ............... 800 23,300
Ecology & Environment, Inc.
Class A ....................... 200 1,550
Edison Brothers Stores, Inc. .... 1,900 3,563
*Edisto Resources Corp. .......... 1,100 5,500
*Egghead, Inc. ................... 1,500 11,813
Ekco Group, Inc. ................ 1,600 9,600
*Electromagnetic Sciences, Inc. .. 600 6,488
*Emcon ........................... 700 2,713
Energen Corp. ................... 900 20,925
*Environmental Elements Corp. .... 600 1,050
*Envirotest Systems Corp. Class A 1,000 2,625
*Equitrac Corp. .................. 300 1,706
*Ernst Home Center, Inc. ......... 1,000 2,750
*Evans & Sutherland Computer Corp. 700 16,975
Evergreen Bancorp, Inc. DE ...... 400 8,850
*Evergreen Resources, Inc. ....... 500 2,156
Excel Industries, Inc. .......... 900 11,025
*Ezcorp, Inc. Class A Non-Voting . 600 2,625
Fab Industries, Inc. ............ 500 14,781
*Failure Group, Inc. ............. 600 3,900
Family Bancorp .................. 300 5,325
Fansteel, Inc. .................. 700 4,813
*Farah, Inc. ..................... 900 5,625
*Filenes Basement Corp. .......... 1,700 6,003
*Financial Benefit Group, Inc.
Class A ....................... 500 2,297
First American Financial Corp. .. 1,000 22,875
*First Cash, Inc. ................ 300 1,163
*First Citizens Financial Corp. .. 200 3,900
First Essex Bancorp ............. 500 5,844
First Federal Alabama FSB Jasper 100 1,900
First Financial Corp. of Western
Maryland ...................... 200 4,375
First Northern Savings Bank S.A.
Green Bay, WI ................. 400 6,200
*First Republic Bancorp, Inc. .... 600 6,750
5
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------ -------
*FirstFed Financial Corp. DE ..... 900 $13,838
Flexsteel Industries, Inc. ...... 600 6,863
Florida Rock Industries, Inc. ... 800 21,200
*Forschner Group, Inc. ........... 700 8,488
Foster (L.B.) Co. Class A ....... 800 3,600
*Foxmeyer Health Corp. ........... 1,400 36,400
Freds, Inc. Class A ............. 800 6,100
Fremont General Corp. ........... 1,400 48,300
Friedman Industries, Inc. ....... 500 1,875
Frisch's Restaurants, Inc. ...... 624 5,733
*G-III Apparel Group, Ltd. ....... 600 1,444
*GZA Geoenvironmental
Technologies, Inc. ............ 300 975
*Galileo Electro-Optics Corp. .... 600 6,300
Garan, Inc. ..................... 400 6,900
*Garnet Resources Corp. .......... 1,000 1,313
*Gehl Co. ........................ 500 3,594
*General Host Corp. .............. 1,900 9,025
General Housewares Corp. ........ 300 3,000
*Genlyte Group, Inc. ............. 1,100 7,219
Geodynamics Corp. ............... 200 2,225
*Giant Group, Ltd. ............... 400 2,550
Giant Industries, Inc. .......... 1,000 10,750
*Gibraltar Packaging Group, Inc. . 400 1,475
Gibson Greetings, Inc. .......... 1,400 20,825
Golden Poultry Co., Inc. ........ 1,200 10,425
*Good Guys, Inc. ................. 1,200 12,300
*Government Technology Services,
Inc. .......................... 600 2,400
*Gradco Systems, Inc. ............ 700 1,750
*Graham-Field Health Products,
Inc. .......................... 1,100 3,713
Granite State Bankshares, Inc. .. 200 3,300
Graphic Industries, Inc. ........ 900 9,563
*Greater New York Savings
Bank NY ....................... 1,100 13,131
Green (A.P.) Industries, Inc. ... 300 5,813
Greiner Engineering, Inc. ....... 400 3,600
*Ground Round Restaurants, Inc. .. 1,000 2,781
*Groundwater Technology, Inc. .... 600 8,475
Grovebank for Savings ........... 100 2,363
Guilford Mills, Inc. ............ 1,200 27,600
HF Financial Corp. .............. 100 3,100
*HMG Worldwide Corp. ............. 600 1,350
*HS Resources, Inc. .............. 900 12,038
6
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------- -------
*Hamburger Hamlet Restaurants,
Inc. .......................... 400 $ 300
*Hampton Industries, Inc. ........ 400 2,000
*Handex Environmental Recovery,
Inc. .......................... 600 3,000
Handleman Co. ................... 2,900 18,125
*Hanger Orthopedic Group, Inc. ... 700 1,925
*Harding Lawson Associates Group,
Inc. .......................... 400 2,800
Harleysville Group, Inc. ........ 1,200 34,650
Hathaway Corp. .................. 400 950
*Hauser Chemical Research, Inc. .. 900 4,275
Haverty Furniture Co., Inc. ..... 700 10,063
Health Images, Inc. ............. 1,000 7,750
*Health O Meter Products, Inc. ... 800 3,300
Hechinger Co. Class A ........... 2,600 11,700
*Hein-Werner Corp. ............... 200 913
Home Financial Corp ............. 2,100 31,238
Home Port Bancorp, Inc. ......... 200 2,350
*Hovnanian Enterprises, Inc.
Class A ....................... 1,300 8,775
Hudson Foods, Inc. Class A ...... 500 8,000
Hughes Supply, Inc. ............. 500 13,125
*Hyde Athletic Industries, Inc.
Class B ....................... 300 1,144
*ICO, Inc. ....................... 800 4,250
Imperial Holly Corp. ............ 200 1,300
*Inacom Corp. .................... 800 10,700
Independent Insurance Group, Inc. 600 16,125
Indiana Federal Corp. ........... 400 7,750
Ingles Market, Inc. Class A ..... 400 4,325
Insteel Industries, Inc. ........ 700 4,638
*Insurance Auto Auctions, Inc. ... 1,000 10,750
*Interco, Inc. ................... 1,000 8,375
Interface Systems, Inc. ......... 400 2,600
Interface, Inc. Class A ......... 1,300 21,206
*International Jensen, Inc. ...... 500 3,500
International Multifoods Corp. .. 1,500 35,063
*International Thoroughbred
Breeders, Inc. ................ 800 3,100
*Intertan, Inc. .................. 900 7,538
*Investors Financial Services
Corp. ......................... 223 4,376
*Investors Financial Services
Corp. Class A ................. 43 844
*Iwerks Entertainment, Inc. ...... 900 5,400
*J & J Snack Foods Corp. ......... 800 9,700
JSB Financial, Inc. ............. 900 28,913
Jaclyn, Inc. .................... 200 838
Jacobson Stores, Inc. ........... 500 4,500
*Jan Bell Marketing, Inc. ........ 2,200 5,775
Justin Industries, Inc. ......... 2,300 25,013
K Swiss, Inc. Class A ........... 300 3,525
Katy Industries, Inc. ........... 800 7,900
Kellwood Co. .................... 1,800 34,875
*Kerr Group, Inc. ................ 300 2,663
*Key Production Co., Inc. ........ 800 4,300
*Kinder-Care Learning Centers,
Inc. .......................... 1,700 20,931
Knape & Vogt Manufacturing Co. .. 500 9,063
*LDI Corp. ....................... 600 1,875
Ladd Furniture, Inc. ............ 700 9,319
*Laserscope ...................... 600 1,238
Lawyers Title Corp. ............. 800 13,700
*Lechters, Inc. .................. 1,500 10,500
Lindberg Corp. .................. 400 2,675
*Liuski International, Inc. ...... 400 1,200
Lufkin Industries, Inc. ......... 600 12,075
Lukens, Inc. DE ................. 1,300 39,813
*Lumex, Inc. ..................... 400 3,650
MAF Bancorp, Inc. ............... 400 10,075
*MDT Corp. ....................... 600 2,963
*MI Schottenstein Homes, Inc. .... 800 9,100
*MK Gold Corp. ................... 1,700 5,100
*MS Carriers, Inc. ............... 1,100 20,763
MTS Systems Corp. ............... 400 13,950
*Mariner Health Group, Inc. ...... 1,000 13,313
Maritrans, Inc. ................. 1,000 5,250
Marsh Supermarkets, Inc. Class A 300 4,125
Marsh Supermarkets, Inc. Class B 400 5,200
Maryland Federal Bancorp ........ 300 9,131
*Matrix Service Co. .............. 800 3,450
*Maverick Tube Corp. ............. 600 3,825
*Maxwell Laboratories, Inc. ...... 200 1,725
*Maxxim Medical, Inc. ............ 700 11,113
*McFarland Energy, Inc. .......... 400 3,000
7
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------ -------
*Medalist Industries, Inc. ....... 300 $ 1,988
*Medalliance, Inc. ............... 800 2,950
Medex, Inc. ..................... 500 5,313
*Medical Graphics Corp. .......... 200 1,125
*Melamine Chemicals, Inc. ........ 500 4,375
Merchants Bancorp, Inc. ......... 200 5,600
Meridian Insurance Group, Inc. .. 600 9,225
*Merisel, Inc. ................... 2,500 11,406
*Mesa Airlines, Inc. ............. 2,800 25,550
Mesaba Holdings, Inc. ........... 700 4,813
Michael Foods, Inc. ............. 1,700 19,763
*Microage, Inc. .................. 1,200 10,125
*Micronics Computers, Inc. ....... 1,100 3,644
Mid America Banccorp ............ 824 14,832
*MidAmerican Waste System, Inc. .. 1,000 4,000
*Mikohn Gaming Corp. ............. 800 2,800
*Miltope Group, Inc. ............. 500 1,594
Mine Safety Appliances Co. ...... 500 21,688
Monarch Machine Tool Co. ........ 300 3,975
*Moog, Inc. Class A .............. 500 7,375
*Morgan Products, Ltd. ........... 700 4,200
*Musicland Stores Corp. .......... 2,900 18,488
NBT Bancorp ..................... 735 12,219
NS Bancorp, Inc. ................ 500 19,406
*NS Group, Inc. .................. 1,200 2,700
NYMAGIC, Inc. ................... 1,000 16,625
Nash Finch Co. .................. 900 17,438
Nashua Corp. .................... 500 7,875
*Nathans Famous, Inc. ............ 400 1,513
*National City Bancorp ........... 600 11,325
*National Home Centers, Inc. ..... 500 1,500
*Natural Wonders, Inc. ........... 700 2,013
*Netrix Corp. .................... 800 4,000
New Brunswick Scientific Co.,
Inc. .......................... 300 2,006
New Jersey Resources Corp. ...... 1,500 41,813
Newmil Bancorp, Inc. ............ 200 1,350
*Nexthealth, Inc. ................ 700 2,888
*Nord Resources Corp. ............ 1,400 2,975
*Nortek, Inc. .................... 1,100 10,450
North American Watch Corp. ...... 500 9,406
North Side Savings Bank NY ...... 400 11,750
Northbay Financial Corp. ........ 200 3,013
Norwich Financial Corp. ......... 400 5,250
*Novacare, Inc. .................. 5,600 32,900
8
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------- -------
*Nview Corp. ..................... 400 $ 1,675
*Nycor, Inc. ..................... 200 988
*Nycor, Inc. Class A ............. 300 1,463
*O.I. Corp. ...................... 400 1,150
*OMI Corp. ....................... 2,600 15,925
*Old America Stores, Inc. ........ 400 3,275
*Olympic Steel, Inc. ............. 700 6,256
OnbanCorp, Inc. ................. 1,200 39,825
*One Price Clothing Stores, Inc. . 900 3,713
Oneida, Ltd. .................... 900 15,638
*Oneita Industries, Inc. ......... 600 4,275
*Option Care, Inc. ............... 800 3,350
*Orange Co., Inc. ................ 700 5,600
Oregon Steel Mills, Inc. ........ 1,700 23,375
Oshkosh Truck Corp. Class B ..... 700 10,150
Outboard Marine Corp. ........... 1,700 34,850
*Outlook Group Corp. ............. 400 3,000
Oxford Industries, Inc. ......... 700 13,125
*PCI Services, Inc. .............. 500 5,031
*PLM International, Inc. ......... 1,000 3,750
*Pacific Rim Holding Corp. ....... 800 2,125
*Palfed, Inc. .................... 400 5,025
Pancho's Mexican Buffet, Inc. ... 400 1,150
*Payless Cashways, Inc. .......... 3,400 14,450
*Penn Treaty American Corp. ...... 600 9,450
Peoples Heritage Financial Group,
Inc. .......................... 1,400 29,400
*Peoples Telephone Co., Inc. ..... 1,400 3,938
*Perfumania, Inc. ................ 600 3,225
*Perini Corp. .................... 400 3,700
*Petrocorp, Inc. ................. 700 5,163
*Pharmchem Laboratories, Inc. .... 500 2,406
Phillips-Van Heusen Corp. ....... 1,000 10,375
Piccadilly Cafeterias, Inc. ..... 900 9,338
Pilgrim Pride Corp. ............. 500 3,375
Pioneer Financial Services, Inc. 500 8,313
*Pool Energy Services Co. ........ 1,200 10,875
Pope & Talbot, Inc. ............. 1,100 16,225
Portsmouth Bank Shares, Inc. .... 500 7,313
Poughkeepsie Savings Bank
FSB NY ........................ 1,100 5,225
Premier Financial Services, Inc. 600 5,325
Presidential Life Corp. ......... 2,900 28,456
Prime Bancorp, Inc. ............. 300 6,038
*Procyte Corp. ................... 1,100 2,647
*Proffitts, Inc. ................. 900 24,188
Progressive Bank, Inc. .......... 200 5,800
*Proler International Corp. ...... 400 3,000
Provident Bankshares Corp. ...... 600 18,150
Pulse Bancorp, Inc. ............. 300 5,063
*QMS, Inc. ....................... 900 3,938
*Quaker Fabric Corp. ............. 700 6,475
RCSB Financial, Inc. ............ 1,200 28,800
RLI Corp. ....................... 600 14,400
*RPC Energy Services, Inc. ....... 1,200 9,600
*Rag Shops, Inc. ................. 200 419
*Rally's Hamburgers, Inc. ........ 1,300 2,113
*Ramsay Health Care, Inc. ........ 700 2,406
*Reading Co. Class A ............. 400 3,650
*Redwood Empire Bancorp .......... 200 1,700
Refac Technology Development
Corp. ......................... 300 2,100
Republic Automotive Parts, Inc. . 300 3,825
*Rexene Corp. .................... 300 2,925
*Riddell Sports, Inc. ............ 700 2,231
*Riggs National Corp. ............ 600 8,400
*Rodman & Renshaw Capital Group,
Inc. .......................... 600 1,050
*Rollins Environmental Services,
Inc. .......................... 5,200 15,600
Rollins Truck Leasing Corp. ..... 3,900 39,000
*S&K Famous Brands, Inc. ......... 400 3,000
SPX Corp. ....................... 1,100 17,738
Saint Paul Bancorp, Inc. ........ 1,600 40,000
*San Filippo (John B.) & Son, Inc. 800 7,200
Sands Regent Casino Hotel ....... 400 2,300
*Scios-Nova, Inc. ................ 3,100 12,013
*Seacor Holdings, Inc. ........... 500 11,438
Seafield Capital Corp. .......... 300 10,763
*Secom General Corp. ............. 400 1,075
*Serv-Tech, Inc. ................. 600 3,938
*Shiloh Industries, Inc. ......... 1,100 12,375
Shopko Stores, Inc. ............. 2,700 30,713
Sifco Industries, Inc. .......... 400 1,775
*Signal Technology Corp. ......... 600 3,375
9
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------ --------
Sizzler International, Inc. ..... 2,400 $ 9,300
Skyline Corp. ................... 900 16,875
*Softech, Inc. ................... 300 1,144
*Southdown, Inc. ................. 1,500 28,313
*Southwall Technologies, Inc. .... 500 2,063
Southwest Bancshares, Inc. DE ... 200 5,475
Southwestern Energy Co. ......... 2,200 28,600
*Spaghetti Warehouse, Inc. ....... 500 2,438
*Spec's Music, Inc. .............. 400 900
*Specialty Chemical Resources,
Inc. .......................... 300 788
*Spectran Corp. .................. 500 2,688
*Speizman Industries, Inc. ....... 300 881
*Sport Chalet, Inc. .............. 600 1,575
*Sports & Recreation, Inc. ....... 1,700 11,900
*Standard Commercial Corp. ....... 808 9,393
*Standard Microsystems Corp. ..... 1,100 22,688
Standard Motor Products, Inc.
Class A ....................... 1,100 16,500
Standard Pacific Corp. DE ....... 2,600 14,950
Standard Products Co. ........... 1,400 22,575
*Staodyn, Inc. ................... 500 844
Starrett (L.S.) Co. Class A ..... 200 4,675
*Steel of West Virginia, Inc. .... 600 6,000
*Sterling Financial Corp. WA ..... 600 8,100
Stewart Information Services
Corp. ......................... 500 11,125
*Stokely USA, Inc. ............... 1,000 5,625
Strawbridge & Clothier Class A .. 900 20,025
*Stuart Entertainment, Inc. ...... 600 4,050
Sumitomo Bank of California ..... 300 7,200
*Summagraphics Corp. ............. 400 763
*Sun Sportswear, Inc. ............ 500 1,750
Sun Television and Appliances,
Inc. .......................... 1,500 8,438
*Suncoast Savings & Loan
Association FSA ............... 200 1,272
*Sunrise Bancorp CA .............. 400 1,025
*Sunrise Leasing Corp. ........... 400 1,250
Super Food Services, Inc. ....... 900 11,475
*Syms Corp. ...................... 1,500 11,438
*Syncor International Corp. DE ... 900 6,413
*Syntellect, Inc. ................ 700 2,363
*Syquest Technology, Inc. ........ 900 9,619
TCBY Enterprises, Inc. .......... 2,200 9,350
10
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ----------
TJ International, Inc. .......... 1,400 $ 24,675
*TPI Enterprises, Inc. ........... 1,700 5,844
Tab Products Co. DE ............. 400 2,700
*Taco Cabana Inc. ................ 1,300 7,150
*Tandy Crafts, Inc. .............. 1,000 7,500
*Tanknology Environmental, Inc. .. 1,200 2,700
Thomaston Mills, Inc. ........... 400 5,250
Thorn Apple Valley, Inc. ........ 500 8,250
Toastmaster, Inc. ............... 600 2,625
*Todd Shipyards Corp. ............ 800 4,800
*Trans World Entertainment Corp. . 800 2,100
*Tremont Corp. DE ................ 600 9,975
*Trism, Inc. ..................... 500 3,875
*Tuboscope Vetco International,
Inc. .......................... 1,600 9,400
*Tucker Drilling Co., Inc. ....... 200 1,538
*Tuesday Morning Corp. ........... 700 3,938
*Tultex Corp. .................... 2,500 11,875
Twin Disc, Inc. ................. 200 4,575
*Tyco Toys, Inc. ................. 3,000 16,500
*Tyler Corp. ..................... 1,700 5,950
U.S. Bancorp, Inc. .............. 500 15,688
*UNC, Inc. ....................... 1,500 8,438
*URS Corp. ....................... 600 4,125
USX-Delhi Group ................. 800 8,200
Uni-Marts, Inc. ................. 500 4,563
Unico American Corp. ............ 500 3,031
*Uniroyal Technology Corp. ....... 1,100 3,575
United Industrial Corp. ......... 400 1,900
*United States Home Corp. ........ 1,000 26,000
*Universal International, Inc. ... 400 2,000
*Universal Standard Medical Labs,
Inc. .......................... 500 2,406
*Utilx Corp. ..................... 600 1,275
*V Band Systems, Inc. ............ 500 734
*Value City Department Stores,
Inc. .......................... 1,800 12,150
*Varitronic Systems, Inc. ........ 200 1,950
*Ventura County National Bancorp . 300 1,125
Venture Stores, Inc. ............ 1,500 5,438
*Vicorp Restaurants, Inc. ........ 800 9,150
Victoria Bankshares, Inc. ....... 700 22,925
*Video Display Corp. ............. 300 1,144
*Video Lottery Technologies, Inc. 900 3,600
Virginia Beach Federal Financial
Corp. ......................... 400 3,175
*WHX Corp. ....................... 2,200 24,200
Warren Bancorp, Inc. ............ 300 3,206
*Washington Homes, Inc. .......... 700 3,500
Washington Savings Bank FSB
Waldorf, MD ................... 400 2,200
Watts Industries, Inc. Class A .. 1,600 32,800
Webster Financial Corp. ......... 500 12,938
*Weirton Steel Corp. ............. 3,600 15,750
*Welcome Home, Inc. .............. 200 494
Westco Bancorp, Inc. ............ 200 5,475
*Western Beef, Inc. .............. 500 2,938
*Weston (Roy F.), Inc. Class A ... 600 3,375
*Wet Seal, Inc. Class A .......... 400 3,425
Windmere Corp. .................. 1,400 8,400
Wiser Oil Co. ................... 800 10,000
Wolohan Lumber Co. .............. 600 5,363
*Worldtex, Inc. .................. 1,200 6,750
Yankee Energy Systems, Inc. ..... 900 20,813
*Yellow Corp. .................... 2,400 28,650
York Financial Corp. ............ 550 9,144
*Zale Corp. ...................... 3,000 49,857
*Zemex Corp. ..................... 714 6,158
Zenith National Insurance Corp. . 1,500 33,188
-----------
TOTAL COMMON STOCKS
(Cost $4,964,035) ............. 4,804,867
-----------
11
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------------
TOTAL INVESTMENTS -- (99.1%)
(Cost $4,964,035) .............. $ 4,804,867
-------------
OTHER ASSETS AND LIABILITIES --
(0.9%)
Other Assets . .................. 47,345
Liabilities ..................... (4,213)
-------------
43,132
-------------
NET ASSETS -- (100.0%) Applicable
to 500,311 Outstanding $.01 Par
Value Shares (100,000,000
Shares Authorized) ............ $4,847,999
=============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE .... $ 9.69
=============
- ------
+See Note B to Financial Statements.
* Non-Income Producing Securities
See accompanying Notes to Financial Statements
12
<PAGE>
STATEMENT OF NET ASSETS
VA LARGE VALUE PORTFOLIO
NOVEMBER 30, 1995
Shares Value+
-------- --------
UNITED STATES -- (95.8%)
COMMON STOCKS -- (95.8%)
*AMR Corp. ....................... 1,100 $ 84,288
Aetna Life & Casualty Co. ....... 1,700 124,737
Ahmanson (H.F.) & Co. ........... 1,900 50,825
Alexander & Baldwin, Inc. ....... 600 14,400
*Alleghany Corp. ................. 100 19,350
*Alumax, Inc. .................... 700 23,275
Ambac, Inc. ..................... 500 22,063
*Amdahl Corp. .................... 1,800 17,100
Amerada Hess Corp. .............. 1,400 66,500
American Financial Group, Inc. .. 800 24,000
American General Corp. .......... 2,700 91,462
American National Insurance Co. . 100 6,125
American President Companies,
Ltd. .......................... 400 10,000
Apple Computer, Inc. ............ 1,600 61,100
Argonaut Group, Inc. ............ 300 9,900
Asarco, Inc. .................... 600 21,225
Ashland, Inc. ................... 900 31,387
Avnet, Inc. ..................... 100 4,700
BHC Communications, Inc.
Class A ....................... 100 9,013
Ball Corp. ...................... 400 11,450
Bancorp Hawaii, Inc. ............ 600 22,050
Bank of Boston Corp. ............ 600 27,825
BankAmerica Corp. ............... 2,600 165,425
Bankers Trust New York Corp. .... 1,200 77,850
Bear Stearns Companies, Inc. .... 1,630 35,452
*Bethlehem Steel Corp. ........... 1,600 22,400
*Burlington Industries, Inc. ..... 1,000 13,375
CIGNA Corp. ..................... 1,100 121,000
*CNA Financial Corp. ............. 800 92,900
CSX Corp. ....................... 1,600 140,200
*California Federal Bank FSB,
Los Angeles Class A ........... 700 10,675
Centex Corp. .................... 400 13,150
Champion International Corp. .... 1,400 65,975
Chase Manhattan Corp. ........... 1,000 60,875
Chemical Banking Corp. .......... 1,300 78,000
Chiquita Brands International,
Inc. .......................... 300 4,013
*Chris-Craft Industries, Inc. .... 303 12,461
Chrysler Corp. .................. 5,600 290,500
Cincinnati Financial Corp. ...... 315 19,412
Coca-Cola Enterprises, Inc. ..... 1,900 55,100
Comdicso, Inc. .................. 200 6,775
Comerica, Inc. .................. 600 22,425
Commerce Bancshares, Inc. ....... 210 7,836
Comsat Corp. Series 1 ........... 700 13,563
Conrail, Inc. ................... 1,100 76,862
Coors (Adolph) Co. Class B ...... 500 10,125
Countrywide Credit Industries,
Inc. .......................... 500 11,000
*Crown Vantage, Inc. ............. 40 685
Cummins Engine Co., Inc. ........ 600 23,550
Cyprus Amax Minerals Co., Inc. .. 1,400 38,500
Diamond Shamrock, Inc. .......... 400 10,050
Dillard Department Stores, Inc.
Class A ....................... 1,600 46,200
Dole Food, Inc. ................. 900 33,862
Enserch Corp. ................... 1,000 15,500
Equitable Companies, Inc. ....... 800 19,900
Federal Paper Board Co., Inc. ... 700 36,400
*Federated Department Stores, Inc. 2,700 78,637
Fina, Inc. Class A .............. 400 19,500
Finova Group, Inc. .............. 400 19,400
First Chicago Corp. ............. 500 34,750
First Colony Corp. .............. 700 18,200
First Hawaiian, Inc. ............ 200 5,850
First of America Bank Corp. ..... 300 13,463
Fleming Companies, Inc. ......... 600 13,875
Ford Motor Co. .................. 15,900 449,175
GATX Corp. ...................... 300 14,625
General Motors Corp. ............ 11,000 533,500
General Motors Corp. Class H .... 1,400 66,500
Golden West Financial Corp. ..... 300 15,338
Goodrich (B.F.) Co. ............. 100 7,013
Great Atlantic & Pacific Tea Co.,
Inc. .......................... 600 13,125
13
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
Shares Value+
------ --------
Great Western Financial Corp. ... 700 $ 17,850
Helmerich & Payne, Inc. ......... 400 10,900
Inland Steel Industries, Inc. ... 700 18,288
International Paper Co. ......... 3,800 144,875
*International Speciality
Products, Inc. ................ 1,400 14,000
James River Corp. of Virginia ... 1,200 37,800
K Mart Corp. .................... 7,000 54,250
*Kaiser Aluminum Corp. ........... 300 4,350
Lafarge Corp. ................... 900 17,438
Lehman Brothers Holdings, Inc. .. 1,500 33,937
Lincoln National Corp. .......... 1,500 70,125
Loews Corp. ..................... 300 46,050
Longs Drug Stores Corp. ......... 100 3,975
Louisiana-Pacific Corp. ......... 1,600 43,200
MBIA, Inc. ...................... 600 46,200
MCI Communications Corp. ........ 3,600 96,300
*Magma Copper Co. ................ 700 14,875
Mellon Bank Corp. ............... 800 42,800
Mercantile Stores Co., Inc. ..... 500 23,250
Merrill Lynch & Co., Inc. ....... 800 44,500
Midlantic Corp. ................. 300 18,038
Mitchell Energy & Development
Corp. Class A ................. 300 5,400
Mitchell Energy & Development
Corp. Class B ................. 400 7,000
Morgan (J.P.) & Co., Inc. ....... 1,000 78,500
Murphy Oil Corp. ................ 700 27,562
NationsBank Corp. ............... 1,500 107,062
*Nextel Communications Corp.
Class A ....................... 1,400 21,438
Norfolk Southern Corp. .......... 1,900 149,625
Occidental Petroleum Corp. ...... 4,700 103,987
Ogden Corp. ..................... 700 14,875
Ohio Casualty Corp. ............. 500 18,750
Old Republic International Corp. 800 27,500
*Oryx Energy Co. ................. 500 6,563
Overseas Shipholding Group, Inc. 500 10,000
PHH Corp. ....................... 300 13,725
Paine Webber Group, Inc. ........ 1,300 29,087
Pennzoil Co. .................... 700 27,737
*Petrie Stores Corp. ............. 300 863
14
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
Shares Value+
------- ----------
Potlatch Corp. .................. 400 $ 16,150
Pulte Corp. ..................... 400 12,300
RJR Nabisco Holdings Corp. ...... 4,040 117,665
Reliastar Financial Corp. ....... 200 8,650
Republic New York Corp. ......... 300 18,900
Reynolds Metals Co. ............. 900 51,975
Ryder System, Inc. .............. 1,200 28,650
Safeco Corp. .................... 800 56,950
Saint Paul Companies, Inc. ...... 500 28,000
Salomon, Inc. ................... 1,600 58,200
Smiths Food & Drug Centers, Inc.
Class B ....................... 100 2,413
Southern New England
Telecommunications Corp. ...... 300 10,875
Springs Industries, Inc. Class A 300 12,600
Standard Federal Bancorporation,
Inc. .......................... 200 7,675
*Storage Technology Corp. ........ 800 19,800
Sun Company, Inc. ............... 1,100 30,525
TIG Holdings, Inc. .............. 900 24,300
Tecumseh Products Co. Class A ... 200 10,525
Textron, Inc. ................... 500 38,312
Times Mirror Co. Class A ........ 100 3,250
Timken Co. ...................... 500 20,188
Transamerica Corp. .............. 1,000 76,625
*Transport Holdings, Inc. Class A 8 308
Tyson Foods, Inc. Class A ....... 1,000 23,812
UNUM Corp. ...................... 400 21,650
USLIFE Corp. .................... 550 15,881
USX-Marathon Group, Inc. ........ 4,200 77,175
USX-US Steel Group .............. 1,200 39,150
Union Bank San Francisco, CA .... 200 10,250
Union Camp Corp. ................ 1,000 49,125
Union Pacific Corp. ............. 1,100 74,525
*Unisys Corp. .................... 2,500 16,250
Unitrin, Inc. ................... 500 23,437
Valero Energy Corp. ............. 600 15,525
*Vons Companies, Inc. ............ 200 5,300
15
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
Shares Value+
------- ----------
Washington Mutual, Inc. ......... 800 $ 22,600
Wesco Financial Corp. ........... 100 16,400
Westvaco Corp. .................. 1,500 41,062
Woolworth Corp. ................. 1,100 16,500
----------
TOTAL -- UNITED STATES
(Cost $5,667,700) ............. 6,283,875
----------
AUSTRALIA -- (0.0%)
COMMON STOCK -- (0.0%)
News Corp., Ltd. (Cost $148) .... 26 136
----------
UNITED KINGDOM -- (0.0%) .........
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $1,613).................... 1,564
----------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -
(3.3%)
Repurchase Agreement, PNC
Securities Corp. 5.65%,
12/01/95 (Collateralized by
U.S. Treasury Notes 6.125%,
05/31/97) (Cost $215,000) ..... $ 215 215,000
-----------
TOTAL INVESTMENTS - (99.1%)
(Cost $5,884,461) .............. 6,500,575
-----------
OTHER ASSETS AND LIABILITIES -
(0.9%)
Other Assets .................. 74,821
Liabilities ................... (12,994)
-----------
61,827
-----------
NET ASSETS - (100.0%) Applicable
to 581,167 Outstanding $.01 Par
Value Shares (100,000,000
Shares Authorized) ............ $6,562,402
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE .... $ 11.29
===========
- ------
+See Note B to Financial Statements
* Non-Income Producing Securities
See accompanying Notes to Financial Statements
16
<PAGE>
STATEMENT OF NET ASSETS
VA INTERNATIONAL VALUE PORTFOLIO
NOVEMBER 30, 1995
Shares Value+
-------- ---------
JAPAN -- (35.0%)
COMMON STOCKS -- (34.9%)
Aichi Steel Works, Ltd. ........ 4,000 $ 22,069
Aisin Seiki Co., Ltd. .......... 2,000 26,404
Amada Co., Ltd. ................ 3,000 30,443
*Aoki Corp. ..................... 6,000 24,591
Aoyama Trading Co., Ltd. ....... 1,100 32,079
Asahi Breweries, Ltd. .......... 2,000 23,251
Atsugi Nylon Industrial Co.,
Ltd. ......................... 5,000 21,429
Calpis Food Industry Co., Ltd. . 2,000 13,655
Chuo Trust and Banking Co., Ltd. 2,000 15,862
Citizen Watch Co., Ltd. ........ 3,000 22,108
Daikyo, Inc. ................... 3,000 21,576
Ezaki Glico Co., Ltd. .......... 2,000 16,650
Fuji Photo Film Co., Ltd. ...... 2,000 49,654
Fujita Corp. ................... 9,000 40,877
Fukuoka City Bank, Ltd. ........ 4,000 30,345
Gunze, Ltd. .................... 4,000 24,039
*Hanwa Co., Ltd. ................ 5,000 16,502
Haseko Corp. ................... 8,000 27,271
Hiroshima Bank, Ltd. ........... 2,000 10,246
Hitachi Koki Co., Ltd. ......... 2,000 18,601
Hitachi Maxell, Ltd. ........... 1,000 15,861
Hitachi Transport System, Ltd. . 2,000 17,498
Hitachi, Ltd. .................. 7,000 71,034
Hokkaido Bank, Ltd. ............ 7,000 22,000
Hokkaido Takushoku Bank, Ltd.,
Takugin ...................... 16,000 42,404
Hokuriku Bank, Ltd. ............ 3,000 18,621
Inax Corp. ..................... 2,000 19,113
Katokichi Co., Ltd. ............ 1,000 18,818
Keiyo Bank, Ltd. ............... 5,000 25,419
Kiyo Bank, Ltd. ................ 5,000 25,074
Kureha Chemical Industry Co.,
Ltd. ......................... 4,000 17,655
Kyudenko Corp. ................. 2,000 26,010
Maeda Corp. .................... 2,000 20,493
Maruetsu, Inc. ................. 3,000 24,502
Matsushita Electric Industrial
Co., Ltd. .................... 4,000 59,507
Mitsui Trust & Banking Co., Ltd. 2,000 18,798
Mizuno Corp. ................... 2,000 16,966
Nagase & Co., Ltd. ............. 2,000 16,946
Nihon Cement Co., Ltd. ......... 3,000 19,921
Nippon Credit Bank, Ltd. ....... 7,000 27,586
Nippon Oil Co., Ltd. ........... 8,000 44,138
Nippon Sheet Glass Co., Ltd. ... 4,000 17,892
Nippon Shinpan Co., Ltd., Tokyo 6,000 39,547
Nisshinbo Industries, Inc. ..... 3,000 27,547
Nittetsu Mining Co., Ltd. ...... 2,000 18,601
*Nitto Boseki Co., Ltd. ......... 7,000 19,931
*Noritz Corp. ................... 1,000 16,847
Pioneer Electronic Corp. ....... 2,000 34,877
San-In Godo Bank, Ltd. ......... 3,000 24,354
Sankyo Aluminum Industry Co.,
Ltd. ......................... 3,000 15,015
Sanyo Electric Co., Ltd. ....... 4,000 20,887
Sekisui House, Ltd. ............ 2,000 23,448
Shiga Bank, Ltd. ............... 4,000 24,000
Shinmaywa Industries, Ltd. ..... 2,000 16,631
Shiseido Co., Ltd. ............. 4,000 42,562
Sony Corp. ..................... 800 42,562
Sumitomo Corp. ................. 2,000 19,901
Sumitomo Realty & Development
Co., Ltd. .................... 7,000 47,103
Teijin, Ltd. ................... 4,000 21,123
Tokyo Sowa Bank, Ltd. .......... 4,000 15,961
Tokyo Style Co., Ltd. .......... 1,000 15,074
Tokyo Tatemono Co., Ltd. ....... 4,000 17,064
Toyo Engineering Corp. ......... 3,000 16,966
Toyota Tsusho Corp. ............ 4,000 25,222
*Victor Co. of Japan, Ltd. ...... 2,000 22,660
Yamaichi Securities Co., Ltd. .. 8,000 50,759
Yamato Kogyo Co., Ltd. ......... 2,000 18,227
Yasuda Trust & Banking Co., Ltd. 8,000 38,621
----------
TOTAL COMMON STOCKS
(Cost $1,756,227) ............ 1,749,398
----------
17
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- ----------
INVESTMENT IN CURRENCY -- (0.1%)
*Japanese Yen (Cost $6,021) ..... $ 6,026
----------
TOTAL -- JAPAN (Cost $1,762,248) 1,755,424
----------
UNITED KINGDOM -- (19.4%)
COMMON STOCKS -- (19.4%)
Abbey National P.L.C. .......... 4,000 39,204
Anglian Water P.L.C. ........... 2,100 18,976
Arjo Wiggins Appleton P.L.C. ... 5,400 14,160
Asda Group P.L.C. .............. 18,900 29,187
Associated British Foods P.L.C. 2,000 21,559
Bass P.L.C. .................... 5,800 61,102
British Land Co. P.L.C. ........ 3,000 17,247
British Steel P.L.C. ........... 16,300 42,119
Burton Group P.L.C. ............ 18,700 36,312
Forte P.L.C. ................... 7,600 39,800
General Accident P.L.C. ........ 2,500 25,420
Great Universal Stores P.L.C. .. 6,100 57,454
Guardian Royal Exchange P.L.C. . 7,000 28,684
ICI (Imperial Chemical
Industries P.L.C.) ........... 4,300 49,835
Ladbroke Group P.L.C. .......... 7,555 16,634
Lasmo P.L.C. ................... 8,700 21,483
Lonrho P.L.C. .................. 6,200 15,831
National Westminster Bank P.L.C. 5,352 54,500
North West Water Group P.L.C. .. 2,300 20,924
Pilkington P.L.C. .............. 7,700 22,722
Redland P.L.C. ................. 4,000 23,241
Royal Insurance Holdings P.L.C. 5,200 30,770
Sears P.L.C. ................... 12,100 18,501
Severn Trent P.L.C. ............ 2,900 29,753
Shell Transport & Trading Co.
P.L.C. ....................... 7,500 92,313
Sun Alliance Group P.L.C. ...... 4,400 26,843
Telegraph P.L.C. ............... 3,400 21,938
Thames Water P.L.C. ............ 2,692 22,762
Welsh Water P.L.C. ............. 1,583 16,677
18
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
------- -------
Whitbread P.L.C. ............... 4,200 $42,899
Yorkshire Water P.L.C. ......... 1,600 14,825
-------
TOTAL COMMON STOCKS
(Cost $987,739) .............. 973,675
-------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $203) .................. 195
-------
RIGHTS/WARRANTS -- (0.0%)
*Pilkington P.L.C. Rights
12/11/95 (Cost $0) ........... 1,925 1,089
-------
TOTAL -- UNITED KINGDOM
(Cost $987,942) ............... 974,959
-------
GERMANY -- (8.2%)
COMMON STOCKS -- (8.2%)
BASF AG ........................ 200 43,815
BHF Bank ....................... 1,000 26,227
Bayer AG ....................... 200 52,011
Bayerische Hypotheken und
Wechelsbank AG ............... 1,000 24,741
Bayerische Vereinsbank AG ...... 1,120 32,315
Commerzbank AG ................. 100 23,117
Dresdner Bank AG, Frankfurt .... 2,100 56,237
Hoechst AG ..................... 100 25,867
Man AG, Muenchen ............... 100 28,231
Siemens AG ..................... 50 26,106
Veba AG ........................ 500 20,387
Vereins & Westbank AG .......... 100 22,114
Volkswagen AG .................. 100 32,412
--------
TOTAL COMMON STOCKS
(Cost $411,309) .............. 413,580
--------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $37) ........ 36
--------
TOTAL -- GERMANY (Cost $411,346) 413,616
--------
FRANCE -- (7.8%)
COMMON STOCKS -- (7.8%)
Alcatel Alsthom Cie Generale
d'Electricite SA ............. 558 46,543
Elf Aquitaine SA ............... 709 49,721
Eridania Beghin-Say SA ......... 200 32,618
Financiere de Paribas SA
Series A ..................... 430 23,937
Peugeot SA ..................... 200 25,878
Rhone-Poulenc SA Series A ...... 1,100 23,567
Saint Louis (SLB) .............. 100 26,118
Societe Generale Paris ......... 205 24,181
Sovac SA ....................... 300 36,710
Suez SA ........................ 600 22,544
Total SA Series B .............. 807 49,697
UAP SA ......................... 1,100 28,510
--------
TOTAL COMMON STOCKS
(Cost $367,153) ............... 390,024
--------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $716) ...... 705
---------
TOTAL -- FRANCE (Cost $367,869) . 390,729
---------
SWITZERLAND -- (7.1%)
COMMON STOCKS -- (4.8%)
Banque Cantonale Vaudoise ...... 55 $ 28,355
*Oerlikon-Buehrle Holding AG,
Zuerich ...................... 500 40,903
Pargesa Holding SA, Geneve ..... 50 59,651
SBV (Schweizerischer Bankverein) 100 39,881
SIG (Schweizerische Industrie
Gesellschaft Holding AG),
Neuhausen am Rheinfall ....... 10 19,173
Schindler Holding AG, Hergiswil 25 25,139
Sulzer AG, Winterthur .......... 50 27,695
--------
TOTAL COMMON STOCKS
(Cost $243,861) .............. 240,797
--------
INVESTMENT IN CURRENCY -- (2.3%)
*Swiss Francs (Cost $115,967) ... 115,127
--------
19
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- ---------
TOTAL -- SWITZERLAND
(Cost $359,828) .............. $ 355,924
---------
NETHERLANDS -- (5.2%)
COMMON STOCKS -- (5.2%)
ABN Amro Holding NV ............ 1,300 57,894
DSM NV ......................... 500 39,839
Fortis Amev NV ................. 900 60,148
Internationale Nederlanden Groep
NV ........................... 1,128 73,853
KLM Royal Dutch Airlines NV .... 800 27,474
---------
TOTAL COMMON STOCKS
(Cost $238,324) .............. 259,208
---------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $1) .. 1
---------
TOTAL -- NETHERLANDS
(Cost $238,325) .................... 259,209
---------
HONG KONG -- (4.3%)
COMMON STOCKS -- (4.3%)
Amoy Properties, Ltd. .......... 22,000 21,054
Chinese Estates Holdings, Ltd. . 24,000 16,140
Great Eagle Holdings, Ltd. ..... 7,000 18,649
Hong Kong & Shanghai Hotels,
Ltd. ......................... 17,000 21,435
Hysan Development Co., Ltd. .... 10,000 26,059
Paliburg Holdings, Ltd. ........ 36,000 25,839
Wharf Holdings, Ltd. ........... 17,000 56,832
Wheelock and Co., Ltd. ......... 19,000 31,574
---------
TOTAL COMMON STOCKS
(Cost $210,127) ............... 217,582
---------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $140) .. 140
---------
TOTAL -- HONG KONG
(Cost $210,267) .............. 217,722
20
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
------- ---------
AUSTRALIA -- (3.0%)
COMMON STOCKS -- (3.0%)
Commonwealth Bank of Australia . 3,300 $ 25,686
MIM Holdings, Ltd. ............. 11,100 15,086
News Corp., Ltd. ............... 11,630 60,982
Westpac Banking Corp. .......... 11,200 46,416
--------
TOTAL COMMON STOCKS
(Cost $151,784) ............... 148,170
--------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $9) .... 9
--------
TOTAL -- AUSTRALIA
(Cost $151,793) ............... 148,179
--------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Banca Commerciale Italiana SpA . 13,000 24,715
*Banca di Roma .................. 30,000 26,942
Credito Italiano ............... 20,000 20,600
Italcementi Fabbriche Riunite
Cemento SpA, Bergamo ......... 5,000 26,924
*Olivetti (Ing C & C) SpA, Ivrea 25,000 16,573
--------
TOTAL COMMON STOCKS
(Cost $131,439) .............. 115,754
--------
RIGHTS/WARRANTS -- (0.0%)
*Olivetti Ing C & C SpA, Ivrea
Rights 12/15/95 (Cost $0) .... 25,000 1,431
--------
TOTAL -- ITALY (Cost $131,439) .. 117,185
--------
SPAIN -- (2.3%)
COMMON STOCKS -- (2.3%)
Banco Central Hispanoamericano
SA ........................... 1,200 24,614
Iberdrola SA ................... 6,900 58,574
Sevillana de Electricidad ...... 4,300 30,530
--------
TOTAL -- SPAIN (Cost $104,496) .. 113,718
--------
SWEDEN -- (1.7%)
COMMON STOCKS -- (1.7%)
Skandinaviska Enskilda Banken
Series A ..................... 2,600 20,260
Stora Kopparbergs Bergslags AB
Series A ..................... 1,500 18,908
Svenka Cellulosa AB Series B ... 1,300 22,047
Svenska Handelsbanken Series A . 1,100 22,269
--------
TOTAL COMMON STOCKS
(Cost $79,882) ............... 83,484
--------
21
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
------- ----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $3) ........ $ 3
--------
TOTAL -- SWEDEN (Cost $79,885) .. 83,487
--------
BELGIUM -- (1.6%)
COMMON STOCKS -- (1.6%)
Electrafina SA ................. 200 18,839
Groupe Bruxelles Lambert SA .... 200 25,669
Societe Generale de Belgique SA 500 37,174
--------
TOTAL -- BELGIUM (Cost $83,224) . 81,682
--------
SINGAPORE -- (1.1%)
COMMON STOCKS -- (1.1%)
Singapore Land, Ltd.
(Cost $51,645) ............... 9,000 53,994
--------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS --
(6.8%) .........................
Repurchase Agreement, PNC
Securities Corp. 5.65%,
12/01/95
(Collateralized by U.S.
Treasury Notes 7.50%,
12/31/96)
(Cost $341,000) ............ $341 341,000
------------
TOTAL INVESTMENTS -- (105.8%)
(Cost $5,281,307) ............. 5,306,828
------------
OTHER ASSETS AND LIABILITIES --
(-5.8%)
Other Assets .................. 26,768
Payable for Investment
Securities Purchased ....... (297,575)
Liabilities ................... (21,661)
------------
(292,468)
------------
NET ASSETS -- (100.0%) Applicable
to 500,001 Outstanding $.01 Par
Value Shares (100,000,000
Shares Authorized) ............ $5,014,360
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE .... $ 10.03
============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
22
<PAGE>
STATEMENT OF NET ASSETS
VA INTERNATIONAL SMALL PORTFOLIO
NOVEMBER 30, 1995
Shares Value+
--------- ------
JAPAN -- (34.7%)
COMMON STOCKS -- (34.7%)
Aica Kogyo Co., Ltd. ............ 3,000 $19,212
Aichi Tokei Denki Co., Ltd. ..... 3,000 17,437
Asahi Kogyosha Co., Ltd. ........ 3,000 19,212
Ashimori Industry Co., Ltd. ..... 3,000 17,616
*Asics Corp. ..................... 7,000 18,966
Bank of Osaka, Ltd. ............. 9,000 26,600
CKD Corp. ....................... 2,000 19,310
*Central Finance Co., Ltd. ....... 4,000 16,946
*Chori Co., Ltd. ................. 5,000 16,552
*Daiwabo Co., Ltd. ............... 8,000 24,749
*Fuji Kosan Co., Ltd. ............ 6,000 17,675
Fuji Oil Co., Ltd. .............. 3,000 19,507
Fuji Spinning Co., Ltd., Tokyo .. 4,000 17,261
Fujiko Co., Ltd. ................ 4,000 15,369
*Furukawa Battery Co., Ltd. ...... 3,000 19,271
*Gakken Co., Ltd. ................ 3,000 17,438
*Hitachi Seiki Co., Ltd. ......... 4,000 16,394
Hokkaido Gas Co., Ltd. .......... 4,000 16,985
*Hokuriku Electric Industry Co.,
Ltd. .......................... 4,000 19,310
Howa Machinery, Ltd. ............ 5,000 18,768
Ichikoh Industries, Ltd. ........ 4,000 17,734
Iwasaki Electric Co., Ltd. ...... 4,000 18,049
*Iwatsu Electric Co., Ltd. ....... 3,000 17,852
*Japan Coated Paper Manufacturing
Co., Ltd. ..................... 3,000 17,527
Japan Paper Industry Co., Ltd. .. 3,000 16,404
Japan Transcity Corp. ........... 3,000 17,143
Japan Vilene Co., Ltd. .......... 3,000 17,734
*Kansai Kisen Kaisha ............. 9,000 17,557
Kanto Auto Works, Ltd., Yokosuka 3,000 20,394
*Kanto Denka Kogyo Co., Ltd. ..... 4,000 26,995
Kawada Industries, Inc. ......... 2,000 17,714
Kawai Musical Instruments
Manufacturing Co., Ltd. ....... 5,000 19,261
Keiyo Co., Ltd. ................. 2,000 18,424
Kokusai Kogyo Co., Ltd. ......... 2,000 20,690
Komatsu Forklift Co., Ltd. ...... 3,000 20,158
Kosei Securities Co., Ltd. ...... 4,000 18,483
Kyodo Shiryo Co., Ltd. .......... 5,000 17,734
*Kyotaru Co., Ltd. ............... 3,000 19,212
Kyushu Bank, Ltd. ............... 4,000 15,921
Life Corp. ...................... 2,000 16,099
Maruyama Manufacturing Co., Inc. 3,000 19,094
Matsuo Bridge Co., Ltd. ......... 3,000 18,059
*Mitsubishi Shindoh Co., Ltd. .... 3,000 18,946
Mitsuuroko Co., Ltd. ............ 3,000 21,251
Nakamuraya Co., Ltd. ............ 3,000 17,704
Nichias Corp. ................... 4,000 19,744
Nichiei Construction Co., Ltd. .. 2,000 16,828
*Nichimo Co., Ltd. ............... 5,000 18,621
Nichireki Co., Ltd. ............. 2,000 17,438
Nichiro Corp. ................... 5,000 17,241
*Nippon Carbon Co., Ltd. ......... 5,000 20,246
*Nippon Columbia Co., Ltd. ....... 3,000 19,951
Nippon Concrete Industries Co.,
Ltd. .......................... 3,000 15,872
*Nippon Kasei Chemical Co., Ltd. . 5,000 17,980
Nippon Synthetic Chemical
Industry Co., Ltd. ............ 3,000 17,084
*Nitto Boseki Co., Ltd. .......... 8,000 22,777
Odakyu Real Estate Co., Ltd. .... 4,000 16,709
Parco Co., Ltd. ................. 2,000 20,690
Prima Meat Packers, Ltd. ........ 5,000 18,030
Rasa Industries, Ltd. ........... 3,000 18,650
Rheon Automatic Machinery Co.,
Ltd. .......................... 2,000 17,734
Sagami Co., Ltd. ................ 3,000 21,281
Sakai Chemical Industry Co., Ltd. 3,000 18,621
Sakata Inx Corp. ................ 3,000 18,473
Sasebo Heavy Industries Co.,
Ltd., Tokyo ................... 7,000 17,724
Shikoku Chemicals Corp. ......... 3,000 18,562
*Showa Line, Ltd. ................ 10,000 18,128
Sumitomo Precision Products Co.,
Ltd., Amagasaki City .......... 2,000 18,877
TOC Co., Ltd. ................... 2,000 20,099
Taisei Rotec Corp. .............. 3,000 21,044
23
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
------ --------
Takaoka Electric Manufacturing
Co., Ltd., Tokyo .............. 4,000 $ 24,433
Takasago International Corp. .... 3,000 18,562
Takashima & Co., Ltd. ........... 4,000 16,867
Takiron Co., Ltd. ............... 3,000 20,631
Tasaki Shinju Co., Ltd. ......... 2,000 20,493
Toa Doro Kogyo Co., Ltd. ........ 3,000 16,197
*Toa Wool Spinning & Weaving Co.,
Ltd. .......................... 6,000 20,631
*Tokai Kogyo Co., Ltd. ........... 7,000 17,172
Tokico, Ltd. .................... 4,000 16,946
Tokyo Machinery Works Co., Ltd. . 3,000 20,483
*Tokyo Securities Co., Ltd. ...... 4,000 17,931
*Tokyo Tekko Co., Ltd. ........... 3,000 14,926
Tokyo Theatres Co., Inc., Tokyo . 6,000 15,665
Tonami Transportation Co., Ltd. . 3,000 17,616
Totoku Electric Co., Ltd., Tokyo 3,000 18,916
Toyo Chemical Co., Ltd. ......... 3,000 18,502
*Toyo Electric Co., Ltd. ......... 5,000 24,137
Toyo Umpanki Co., Ltd. .......... 5,000 21,626
Yondenko Corp. .................. 2,000 17,951
Zenchiku Co., Ltd. .............. 4,000 15,961
----------
TOTAL -- JAPAN (Cost $1,623,093) . 1,684,767
----------
UNITED KINGDOM -- (13.4%)
COMMON STOCKS -- (13.3%)
APV P.L.C. ...................... 15,000 18,577
Ash & Lacy P.L.C. ............... 7,000 17,874
*Ashley (Laura) Holdings P.L.C. .. 12,000 22,935
Bluebird Toys P.L.C. ............ 5,000 24,923
Bodycote International P.L.C. ... 3,000 18,440
Bradstock Group P.L.C. .......... 21,000 21,192
British Polythene Industries
P.L.C. ........................ 2,000 20,030
Canadian Pizza P.L.C. ........... 12,000 14,128
Carpetright P.L.C. .............. 4,000 24,311
Davis Service Group P.L.C. ...... 5,000 15,863
Dawson Group P.L.C. ............. 4,000 18,287
Dawson International P.L.C. ..... 10,000 17,278
Dewhirst Group P.L.C. ........... 6,000 16,788
24
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
------- ----------
Diploma P.L.C. .................. 3,000 $ 19,953
Etam P.L.C. ..................... 7,000 18,516
Greene King P.L.C. .............. 2,000 19,204
Henderson Administration Group
P.L.C. ........................ 1,000 18,470
Heywood Williams Group P.L.C. ... 5,000 17,507
Higgs & Hill P.L.C. ............. 13,000 18,486
How Group P.L.C. ................ 29,000 13,746
MacAllan-Glenlivet P.L.C. ....... 6,000 18,715
MacFarlane Group Clansman P.L.C. 6,000 17,889
*Oxford Molecular Group P.L.C. ... 5,000 18,960
Photo-Me International P.L.C. ... 6,000 14,862
Polypipe P.L.C. ................. 8,000 20,183
Quick Group P.L.C. .............. 8,000 17,125
Redrow Group P.L.C. ............. 11,000 21,192
*Saatchi & Saatchi Co. P.L.C. .... 11,000 15,221
*Sage Group P.L.C. ............... 5,000 21,024
St. Modwen Properties P.L.C. .... 23,000 18,990
Staveley Industries P.L.C. ...... 6,000 19,265
Suter P.L.C. .................... 6,000 16,330
T & S Stores P.L.C. ............. 7,000 19,908
Triplex Lloyd P.L.C. ............ 7,000 14,877
Vardon P.L.C. ................... 9,000 14,999
---------
TOTAL COMMON STOCKS
(Cost $669,713) ............... 646,048
---------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $1,002) ................. 984
---------
RIGHTS/WARRANTS -- (0.1%) ........
*Cordiant P.L.C. Rights 12/13/95
(Cost $3,951) ................. 11,000 5,214
--------
TOTAL -- UNITED KINGDOM
(Cost $674,666) ............... 652,246
--------
GERMANY -- (9.6%)
COMMON STOCKS -- (8.8%)
Aachener und Muenchener
Versicherungs AG .............. 100 31,098
Concordia Bau und Boden AG ...... 496 25,468
DLW AG .......................... 100 16,932
DSL Holding AG .................. 150 17,623
*Didier-Werke AG ................. 200 14,789
Dyckerhoff & Widmann AG ......... 100 16,448
*Fag Kugelfischer Georg Schaeffer
AG ............................ 125 15,852
Felten & Guilleaume
Energietechnik AG ............. 100 15,757
*Gerresheimer Glas AG ............ 100 16,482
Harpener AG ..................... 100 19,005
Holsten-Brauerei AG, Hamburg .... 100 22,737
Iwka AG ......................... 100 18,383
*Kali und Salz Beteiligungs AG ... 200 25,915
*Kaufhalle AG .................... 200 22,184
*Linotype-Hell AG ................ 100 10,090
*Phoenix AG, Hamburg ............. 100 15,066
Plettac AG ...................... 70 17,609
Rheinboden Hypothekenbank AG .... 100 17,346
Salamander AG, Kornwesteim ...... 100 15,549
Strabag AG ...................... 100 16,759
Verseidag AG .................... 200 17,415
WCM Beteiligungs und Grundbesitz
AG ............................ 3,000 21,977
*Walter AG ....................... 100 18,659
---------
TOTAL COMMON STOCKS
(Cost $468,388) ..................... 429,143
---------
INVESTMENT IN CURRENCY -- (0.8%)
*German Marks (Cost $36,693) ..... 36,430
---------
TOTAL -- GERMANY (Cost $505,081) . 465,573
---------
25
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
------- ----------
FRANCE -- (8.9%)
COMMON STOCKS -- (8.2%)
ALSPI (Societe Alsacienne de
Participations Industrielles) . 300 $ 21,418
*Bis SA .......................... 200 17,533
*Bollore Technologies SA ......... 200 17,252
DMC (Dollfus Mieg et Cie) ....... 300 12,927
Degremont ....................... 300 24,313
EBF SA .......................... 700 18,957
Euro RSCG Worldwide SA .......... 200 18,227
Gaumont ......................... 400 25,982
Groupe Andre SA ................. 300 20,461
Groupe du Louvre SA ............. 700 18,971
Groupement pour le Financement de
la Construction SA ............ 300 21,364
Guyenne et Gascogne SA .......... 60 15,033
*Legris Industries SA ............ 400 13,480
*Metaleurop SA ................... 1,500 15,060
*Moulinex SA ..................... 1,200 20,437
SAGA (Societe Anonyme de Gerance
et d'Armement) ................ 300 9,448
SFIM (Societe de Fabrication
d'Instruments de Mesure) ...... 100 17,954
Silec (Societe Industrielle de
Liaisons Electriques) ......... 400 19,418
Skis Rossignol SA ............... 54 13,692
Strafor Facom SA ................ 140 15,446
UGC Droits Audiovisuels SA ...... 200 8,847
*Union Industrielle de Credit SA,
Paris ......................... 1,364 17,512
*Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies) ...................... 400 15,246
---------
TOTAL COMMON STOCKS
(Cost $432,948) ............... 398,978
---------
INVESTMENT IN CURRENCY -- (0.7%)
*French Francs (Cost $32,963) .... 32,112
---------
TOTAL -- FRANCE (Cost $465,911) .. 431,090
---------
NETHERLANDS -- (4.5%) ............
COMMON STOCKS -- (4.5%) ..........
*ACF Holding NV (Certificate) .... 800 16,998
*Ahrend NV ....................... 600 20,198
Cap Volmac Group NV ............. 2,100 25,164
*Frans Maas Groep NV ............. 700 23,217
Grolsche NV ..................... 800 28,067
Internatio-Mueller NV ........... 300 20,235
Otra NV ......................... 100 17,295
Schuttersveld Holding ........... 600 17,974
26
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
------- --------
Twentsche Kabel Holding NV ....... 600 $ 20,383
Wegener NV ...................... 300 27,813
---------
TOTAL COMMON STOCKS
(Cost $222,649) ............... 217,344
---------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $29) .. 28
---------
TOTAL -- NETHERLANDS
(Cost $222,678) ............... 217,372
---------
MALAYSIA -- (3.9%)
COMMON STOCKS -- (3.8%)
Batu Kawan Berhad ............... 7,000 16,861
Gadek (Malaysia) Berhad ......... 3,000 13,031
Guinness Anchor Berhad .......... 11,000 19,112
Ho Hup Construction Co. Berhad .. 5,000 12,932
Kelang Container Terminal Berhad 7,000 16,170
Kemayan Corp. Berhad ............ 11,000 14,681
MCB Holdings Berhad ............. 25,000 14,511
Malaysian Pacific Industries .... 7,000 19,625
Pacific Bank Berhad ............. 18,000 25,303
Phileo Allied Berhad ............ 4,000 15,715
Westmont Land (Asia) Berhad ..... 9,000 15,210
---------
TOTAL COMMON STOCKS
(Cost $195,751) ................ 183,151
---------
INVESTMENT IN CURRENCY -- (0.1%)
*Malaysian Ringetts (Cost $4,876) 4,894
---------
TOTAL -- MALAYSIA (Cost $200,627) 188,045
---------
SWITZERLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
Attisholz Holding AG, Attisholz . 24 14,623
*EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg .... 100 19,429
*Forbo Holding AG, Eglisau ....... 51 19,861
Kraftwerk Laufenburg, Laufenburg 100 17,469
Phoenix Mecano AG, Stein am Rhein 50 24,712
Porst Holding AG, Jegenstorf .... 94 15,780
*Saurer AG, Arbon ................ 56 19,470
*Von Roll AG, Gerlafingen ........ 759 15,846
Zuercher Ziegeleien Holding,
Zuerich ....................... 27 18,637
---------
TOTAL COMMON STOCKS
(Cost $180,977) ............... 165,827
---------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $1) .......... 1
---------
TOTAL -- SWITZERLAND
(Cost $180,978) ............... 165,828
---------
HONG KONG -- (2.8%)
COMMON STOCKS -- (2.8%)
Dynamic Holdings, Ltd. .......... 92,000 17,609
Four Seas Mercantile Holdings,
Ltd. .......................... 60,000 18,235
Grande Holdings, Ltd. ........... 28,000 16,295
Great Wall Electronic
International, Ltd. ........... 100,000 8,147
Liu Chong Hing Bank, Ltd. ....... 16,000 19,037
Semi-Tech (Global) Co., Ltd. .... 13,000 20,006
Shell Electric Manufacturing
(Holdings) Co., Ltd. .......... 38,000 15,603
Varitronix International, Ltd. .. 10,000 18,752
---------
TOTAL COMMON STOCKS
(Cost $136,903) ............... 133,684
---------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $884) ... 885
---------
TOTAL -- HONG KONG (Cost $137,787) 134,569
---------
ITALY -- (2.7%)
COMMON STOCKS -- (2.7%)
Ansaldo Trasporti SpA ........... 7,000 8,996
*Banca Toscana ................... 11,000 18,987
*Cogefar-Impresit Costruzioni
Generali SpA .................. 19,000 15,625
*Dalmine SpA ..................... 82,000 15,077
*Milano Assicurazioni SpA ........ 5,000 16,260
27
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
------- ----------
*Premafin Finanziaria SpA ........ 37,000 $ 14,254
Previdente Cia Italiana
Assicurazione SpA ............. 3,000 17,449
Tecnost SpA ..................... 8,000 12,008
Vianini Lavori SpA .............. 10,000 14,071
----------
TOTAL -- ITALY (Cost $163,823) ... 132,727
----------
KOREA -- (2.7%)
COMMON STOCKS -- (2.7%)
*Daelim Industrial Co., Ltd. ..... 1,000 19,336
Hankuk Paper Manufacturing Co.,
Ltd. .......................... 500 16,481
Hanmi Pharmaceutical Co., Ltd. .. 700 18,531
Kumho Electric Co., Ltd. ........ 300 15,884
*Kumho Electric Co., Ltd. Issue 95 31 1,590
Pang Rim Spinning ............... 300 18,920
*Se Poong Corp. .................. 1,200 21,490
Union Steel Manufacturing Co.,
Ltd. .......................... 200 19,983
----------
TOTAL -- KOREA (Cost $141,444) ... 132,215
----------
AUSTRALIA -- (2.6%)
COMMON STOCKS -- (2.6%)
*Aurora Gold, Ltd. ............... 15,600 17,959
Bank of Queensland, Ltd. ........ 5,400 17,927
Capral Aluminium, Ltd. .......... 7,100 16,874
Faulding (F.H.) & Co., Ltd. ..... 4,600 18,620
Metal Manufactures, Ltd. ........ 7,600 15,353
Pacific Magazines and Printing,
Ltd. .......................... 8,900 18,839
SBS Iama, Ltd. .................. 12,000 19,607
----------
TOTAL COMMON STOCKS
(Cost $129,374) ............... 125,179
----------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1) ..... 1
----------
TOTAL -- AUSTRALIA (Cost $129,375) 125,180
----------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
Celsius Industrier AB Series B .. 1,400 28,877
28
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
------ --------
*Foereningsbanken AB Series A .... 10,400 $ 28,443
Garphyttan Industrier AB ........ 1,400 18,396
Marieberg Tidnings AB Series A .. 1,400 33,369
Rottneros Bruk AB ............... 11,700 14,122
--------
TOTAL COMMON STOCKS
(Cost $119,233) ............... 123,207
--------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $4) ......... 4
--------
TOTAL -- SWEDEN (Cost $119,237) .. 123,211
--------
SPAIN -- (2.3%)
COMMON STOCKS -- (2.3%)
Banco Zaragozano SA ............. 1,200 19,155
Europistas Concesionaria Espanola
SA ............................ 2,300 18,778
Fabricacion de Automoviles
Renault de Espana SA .......... 800 11,633
GESA (Gas y Electricidad SA) .... 400 20,536
Huarte SA ....................... 2,000 8,773
*Uralita SA ...................... 1,900 19,293
Viscofan Industria Navarra de
Envolturas Celulosicas SA ..... 1,300 13,570
--------
TOTAL COMMON STOCKS
(Cost $135,624) ............... 111,738
--------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $222) ...... 219
--------
TOTAL -- SPAIN (Cost $135,846) ... 111,957
--------
SINGAPORE -- (2.2%)
COMMON STOCKS -- (2.2%)
Amtek Engineering, Ltd. ......... 10,000 13,135
*Amtek Engineering, Ltd. Issue 95 5,000 6,550
Hitachi Zosen (Singapore), Ltd. . 22,000 16,244
Hotel Plaza, Ltd. ............... 25,000 15,708
Scotts Holdings, Ltd. ........... 25,000 18,637
Tuan Sing Holdings, Ltd. ........ 44,000 16,557
*Van Der Horst, Ltd. ............. 4,000 19,879
--------
TOTAL COMMON STOCKS
(Cost $109,472) ............... 106,710
--------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $1) ..... 1
--------
TOTAL -- SINGAPORE (Cost $109,473) 106,711
--------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
Ackermans & Van Haaren SA ....... 120 19,802
CMB (Cie Maritime Belge) ........ 300 20,891
Immobel (Cie Immobiliere de
Belgique SA) .................. 200 13,356
--------
TOTAL -- BELGIUM (Cost $59,083) .. 54,049
--------
29
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Face
Amount Value+
-------- -----------
(000)
TEMPORARY CASH INVESTMENTS --
(5.0%)
Repurchase Agreement, PNC
Securities Corp. 5.65%,
12/01/95
(Collateralized by U.S.
Treasury Notes 6.125%,
05/31/97)
(Cost $245,000) ............ $245 $ 245,000
----------
TOTAL INVESTMENTS -- (102.3%)
(Cost $5,114,102) ............. 4,970,540
----------
OTHER ASSETS AND LIABILITIES --
(-2.3%)
Other Assets .................. 50,181
Payable for Investment
Securities Purchased ....... (146,944)
Liabilities ................... (17,640)
----------
(114,403)
----------
NET ASSETS -- (100.0%) Applicable
to 500,001 Outstanding $.01 Par
Value Shares
(100,000,000 Shares Authorized) $4,856,137
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE .... $ 9.71
==========
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
30
<PAGE>
STATEMENT OF NET ASSETS
VA SHORT-TERM FIXED PORTFOLIO
NOVEMBER 30, 1995
Face
Amount Value+
-------- -----------
(000)
COMMERCIAL PAPER -- (77.1%)
ABN-Amro North America, Inc. C.P.
5.700%, 12/04/95 .................. $ 150 $ 149,905
Bayerische Landensbank C.P.
5.720%, 01/05/96 .................. 150 149,143
Beta Finance C.P.
5.690%, 01/22/96 .................. 150 148,573
Caisse des Depots et
Consignments C.P.
5.720%, 12/04/95 .................. 150 149,905
5.730%, 12/08/95 .................. 150 149,807
Canadian Wheat Board C.P.
5.680%, 12/01/95 .................. 150 149,976
Cargill, Inc. C.P.
5.700%, 12/04/95 .................. 150 149,905
Ciesco L.P. C.P.
5.720%, 01/09/96 .................. 150 148,810
Commerzbank U.S. Finance, Inc. C.P.
5.700%, 01/12/96 .................. 150 148,977
Corporate Asset Funding Co. C.P.
5.700%, 12/22/95 .................. 150 149,476
Dreyfus (Louis) Corp. C.P.
5.770%, 01/12/96 .................. 150 148,976
Ford Motor Credit Co. C.P.
5.710%, 12/01/95 .................. 150 149,976
General Electric Capital Corp. C.P.
5.710%, 12/05/95 .................. 150 149,881
Glaxo Wellcome P.L.C. C.P.
5.700%, 01/22/96 .................. 150 148,732
Hahn Issuing Corp. C.P.
5.720%, 12/04/95 .................. 150 149,905
Halifax Building Society C.P.
5.720%, 01/03/96 .................. 150 149,190
McKenna Triangle National Corp. C.P.
5.720%, 01/11/96 .................. 150 149,001
Nestle Capital Corp. C.P.
5.620%, 12/04/95 .................. 150 149,905
Paccar Financial Corp. C.P.
5.740%, 12/14/95 .................. 150 149,666
Panasonic Finance, Inc. C.P.
5.730%, 12/14/95 .................. 150 149,666
Sandoz Corp. C.P.
5.720%, 01/11/96 .................. 150 149,001
Sheffield Receivables Corp. C.P.
5.750%, 12/01/95 .................. 150 149,976
St. Michael Finance, Ltd. C.P.
5.700%, 12/06/95 .................. 150 149,856
UBS Finance Delaware, Inc. C.P.
5.750%, 12/05/95 .................. 150 149,881
Unilever Capital Corp. C.P.
5.700%, 12/14/95 .................. 150 149,976
Wal-Mart Stores, Inc. C.P.
5.740%, 12/05/95 .................. 150 149,881
-----------
TOTAL COMMERCIAL PAPER
(Cost $3,888,664) ................. 3,887,946
-----------
31
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
Face
Amount Value+
-------- ------------
(000)
AGENCY OBLIGATIONS -- (17.6%)
Federal Farm Credit Bank
5.590%, 12/20/95 .................. $150 $ 149,535
Federal Home Loan Bank
5.600%, 01/29/96 .................. 150 148,590
Federal Home Loan Mortgage Corp.
5.540%, 03/21/96 .................. 150 147,420
Federal National Mortgage
Association
5.540%, 03/18/96 .................. 150 147,480
Tennessee Valley Authority
5.570%, 12/11/95 .................. 150 149,745
World Bank (International Bank for
Reconstruction & Development)
5.460%, 04/02/96 .................. 150 147,180
-----------
TOTAL AGENCY OBLIGATIONS
(Cost $890,095) ................... 889,950
-----------
BONDS AND CERTIFICATES OF DEPOSIT --
(3.0%)
Northern Trust Co. Medium Term Notes
(Cost $149,999)
5.730%, 12/14/95 .................. 150 150,002
-----------
TEMPORARY CASH INVESTMENTS -- (2.3%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97)
(Cost $114,000) ................... 114 114,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,042,758) ................. 5,041,898
-----------
OTHER ASSETS AND LIABILITIES
-- (0.0%)
Other Assets ...................... 1,827
Liabilities ....................... (3,075)
-----------
(1,248)
-----------
NET ASSETS -- (100.0%) Applicable to
502,010 Outstanding $.01 Par Value
Shares (100,000,000 Shares
Authorized) ....................... $5,040,650
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 10.04
===========
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
32
<PAGE>
STATEMENT OF NET ASSETS
VA GLOBAL BOND PORTFOLIO
NOVEMBER 30, 1995
Face
Amount@ Value+
--------- ----------
(000)
GERMANY -- (24.7%)
BONDS -- (24.7%)
European Economic Community
6.500%, 03/10/00 ................. 400 $290,532
Germany (Federal Republic of)
9.000%, 10/20/00 ................. 490 392,707
KFW International Finance, Inc.
7.500%, 01/24/00 ................. 200 149,979
----------
TOTAL BONDS (Cost $743,235) ....... 833,218
----------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $10) ......... 10
----------
TOTAL -- GERMANY
(Cost $743,245) .................. 833,228
----------
JAPAN -- (23.5%)
BONDS -- (23.5%)
Autobahnen und
Schnellstrassenfinanzierungs AG
6.000%, 03/11/00 ................. 11,000 128,012
Belgium (Kingdom of)
5.000%, 12/17/99 ................ 10,000 112,335
Credit Local de France SA
6.000%, 10/31/01 ................ 9,000 107,228
Inter-American Development Bank
6.750%, 02/20/01 ................ 12,000 146,057
SNCF (Societe Nationale des
Chemins de Fer Francais)
6.750%, 03/01/00 ................ 12,000 143,220
World Bank (International Bank for
Reconstruction and Development)
4.500%, 06/20/00 ................ 14,000 156,124
----------
TOTAL -- JAPAN (Cost $784,077) .... 792,976
----------
UNITED KINGDOM -- (11.9%)
BONDS -- (11.9%)
Austria (Republic of)
10.375%, 03/29/99 ............... 75 125,318
European Investment Bank
7.000%, 12/22/98 ................ 90 138,271
Guaranteed Export Finance Corp.
P.L.C.
7.250%, 12/15/98 ................ 90 139,165
----------
TOTAL -- UNITED KINGDOM
(Cost $392,994) ................. 402,754
----------
AUSTRALIA -- (9.1%)
BONDS -- (9.1%)
New South Wales Treasury Corp.
12.000%, 12/01/01 ............... 160 141,011
Queensland Treasury Corp.
8.000%, 08/14/01 ................ 220 163,400
----------
TOTAL BONDS (Cost $293,747) ....... 304,411
----------
33
<PAGE>
VA GLOBAL BOND PORTFOLIO
CONTINUED
Face
Amount@ Value+
--------- -----------
(000)
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1,046) . $ 1,055
-----------
TOTAL -- AUSTRALIA
(Cost $294,793) .................. 305,466
-----------
U.S. TREASURY OBLIGATIONS -- (8.4%)
U.S. Treasury Notes
(Cost $280,774)
6.625%, 03/31/97 ................ 280 284,331
-----------
FRANCE -- (8.1%)
BONDS -- (8.1%)
Credit Locale de France SA
6.000%, 11/15/01 ................ 700 136,648
France (Republic of)
9.500%, 01/25/01 ................ 600 137,212
-----------
TOTAL BONDS (Cost $263,303) ....... 273,860
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $45) ........ 46
-----------
TOTAL -- FRANCE (Cost $263,348) ... 273,906
-----------
CANADA -- (5.0%)
BONDS -- (5.0%)
Canada (Government of)
(Cost $162,640)
9.750%, 12/01/01 ................ 200 167,674
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $379) .... 388
-----------
TOTAL -- CANADA (Cost $163,019) ... 168,062
-----------
TEMPORARY CASH INVESTMENTS --
(4.3%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97)
(Cost $145,000) .................. 145 145,000
-----------
TOTAL INVESTMENTS -- (95.0%)
(Cost $3,067,250) ................ 3,205,723
-----------
OTHER ASSETS AND LIABILITIES --
(5.0%) ...........................
Interest Receivable ............... 138,381
Other Assets ...................... 59,570
Liabilities ....................... (10,890)
-----------
187,061
-----------
NET ASSETS -- (100.0%) Applicable
to 319,860 Outstanding $.01 Par
Value Shares (100,000,000 Shares
Authorized) ...................... $3,392,784
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ....... $ 10.61
===========
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in Local Currency
See accompanying Notes to Financial Statements
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Small VA Large VA International
Value Value Value
Portfolio(a) Portfolio(b) Portfolio(a)
----------- ----------- ----------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes withheld of $0, $10
and $1, respectively) ............................. $ 12 $ 148 $ 3
Interest ............................................ 3 15 6
----- ------ ----
15 163 9
----- ------ ----
Expenses
Investment Advisory Services ........................ 4 18 3
Accounting & Transfer Agent Fees .................... 1 13 1
Custodians' Fees .................................... -- 12 5
Legal Fees .......................................... -- 3 --
Audit Fees .......................................... 1 3 1
Shareholders' Report ................................ 1 2 --
Directors' Fees and Expenses ........................ -- 1 --
Organization Costs .................................. -- 5 --
Other ............................................... 1 4 1
----- ------ ----
Total Expenses ................................. 8 61 11
----- ------ ----
Net Investment Income (Loss) ........................ 7 102 (2)
----- ------ ----
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain on Investment Securities .......... -- 324 --
Net Realized Loss on Foreign Currency Transactions .. -- (12) (10)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ........ (159) 616 25
Translation of Foreign Currency Denominated Amounts -- -- 1
----- ------ ----
Net Gain (Loss) on Investment Securities and Foreign
Currency .......................................... (159) 928 16
----- ------ ----
Net Increase (Decrease) in Net Assets Resulting from
Operations ............................................. $(152) $1,030 $ 14
====== ====== ====
</TABLE>
- ------
(a) For the period October 3 (commencement of operations) to November 30,
1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
See accompanying Notes to Financial Statements
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA VA
International Short-Term VA Global
Small Fixed Bond
Portfolio(a) Portfolio(a) Portfolio(b)
----------------- -------------- -------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes withheld of $1, $0 and
$0, respectively) .................................... $ 5 -- --
Interest ............................................... 12 $47 $181
----- --- ----
Total Investment Income ........................... 17 47 181
----- --- ----
Expenses
Investment Advisory Services ........................... 4 2 7
Accounting & Transfer Agent Fees ....................... 1 1 13
Custodians' Fees ....................................... 14 -- 2
Legal Fees ............................................. -- -- 3
Audit Fees ............................................. 1 1 3
Shareholders' Report ................................... -- -- 2
Directors' Fees and Expenses ........................... -- 1 1
Organization Costs ..................................... -- -- 4
Other .................................................. -- -- 2
---
Total Expenses .................................... 20 5 37
----- --- ----
Net Investment Income (Loss) ........................... (3) 42 144
----- --- ----
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain on Investment Securities ............. -- -- 34
Net Realized Gain on Foreign Currency Transactions ..... 2 -- 35
Change in Unrealized Appreciation (Depreciation) of: ...
Investment Securities and Foreign Currency ........... (144) (1) 139
Translation of Foreign Currency Denominated Amounts .. 1 -- 41
---- --- ----
Net Gain (Loss) on Investment Securities and Foreign
Currency ............................................. (141) (1) 249
----- --- ----
Net Increase (Decrease) in Net Assets Resulting from
Operations ................................................ $(144) $41 $393
===== === ====
</TABLE>
- ------
(a) For the period October 3 (commencement of operations) to November 30,
1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
See accompanying Notes to Financial Statements
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Small VA Large VA International
Value Value Value
Portfolio(a) Portfolio(b) Portfolio(a)
----------- ----------- ----------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) .................... $ 7 $ 102 $ (2)
Net Realized Gain on Investment Securities ...... -- 324 --
Net Realized Loss on Foreign Currency
Transactions ................................. -- (12) (10)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency ... (159) 616 25
Translation of Foreign Currency Denominated
Amounts .................................... -- -- 1
------ ------ ------
Net Increase (Decrease) in Net Assets Resulting
from Operations .............................. (152) 1,030 14
------ ------ ------
Distributions From:
Net Investment Income ........................... (3) (87) --
Net Realized Gains .............................. -- (322) --
------ ------ ------
Total Distributions .......................... (3) (409) --
------ ------ ------
Capital Share Transactions (1):
Shares Issued ................................... 5,000 8,833 5,000
Shares Issued in Lieu of Cash Distributions ..... 3 409 --
Shares Redeemed ................................. -- (3,301) --
------ ------ ------
Net Increase From Capital Share Transactions . 5,003 5,941 5,000
------ ------ ------
Total Increase ............................... 4,848 6,562 5,014
Net Assets
Beginning of Period ............................. -- -- --
------ ------- ------
End of Period ................................... $4,848 $ 6,562 $5,014
====== ======= ======
(1) Shares Issued and Redeemed:
Shares Issued ................................... 500 808 500
Shares Issued in Lieu of Cash Distributions ..... -- 36 --
Shares Redeemed ................................. -- (263) --
------ ------- ------
500 581 500
====== ======= ======
</TABLE>
(a) For the period October 3 (commencement of operations) to November 30,
1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
See accompanying Notes to Financial Statements
37
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA VA VA
International Short-Term Global
Small Fixed Bond
Portfolio(a) Portfolio(a) Portfolio(b)
--------------- ------------ -----------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) .................... $ (3) $ 42 $ 144
Net Realized Gain on Investment Securities ...... -- -- 34
Net Realized Gain on Foreign Currency
Transactions ................................. 2 -- 35
Change in Unrealized Appreciation (Depreciation)
of: ..........................................
Investment Securities and Foreign Currency ... (144) (1) 139
Translation of Foreign Currency Denominated
Amounts .................................... 1 -- 41
------ ------ ------
Net Increase (Decrease) in Net Assets Resulting
from Operations .............................. (144) 41 393
------ ------ ------
Distributions From:
Net Investment Income ........................... -- (20) (175)
Net Realized Gains .............................. -- -- (34)
------ ------ ------
Total Distributions .......................... -- (20) (209)
------ ------ ------
Capital Share Transactions (1):
Shares Issued ................................... 5,000 5,000 3,235
Shares Issued in Lieu of Cash Distributions ..... -- 20 209
Shares Redeemed ................................. -- -- (235)
------ ------ ------
Net Increase From Capital Share Transactions . 5,000 5,020 3,209
------ ------ ------
Total Increase ............................... 4,856 5,041 3,393
Net Assets
Beginning of Period ............................. -- -- --
------ ------ ------
End of Period ................................... $4,856 $5,041 $3,393
====== ====== ======
(1) Shares Issued and Redeemed:
Shares Issued ................................... 500 502 320
Shares Issued in Lieu of Cash Distributions ..... -- -- 20
Shares Redeemed ................................. -- -- (20)
------ ------ ------
500 502 320
====== ====== ======
</TABLE>
(a) For the period October 3 (commencement of operations) to November 30,
1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
See accompanying Notes to Financial Statements
38
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA Small VA Large VA International
Value Value Value
Portfolio(a) Portfolio(b) Portfolio(a)
----------- ----------- ----------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period .................... $10.00 $10.00 $10.00
------ ------ ------
Income from Investment Operations
Net Investment Income .............................. 0.01 0.19 --
Net Gains (Losses) on Securities (Realized and
Unrealized) ...................................... (0.31) 1.85 0.03
------ ------ ------
Total from Investment Operations ................... (0.30) 2.04 0.03
------ ------ ------
Less Distributions
Net Investment Income .............................. (0.01) (0.16) --
Net Realized Gains ................................. -- (0.59) --
------ ------ ------
Total Distributions ................................ (0.01) (0.75) --
------ ------ ------
Net Asset Value, End of Period .......................... $ 9.69 $11.29 $10.03
====== ====== ======
Total Return ............................................ (3.04)%# 20.41%# 0.30%#
Net Assets, End of Period (thousands) ................... $4,848 $6,562 $5,014
Ratio of Expenses to Average Net Assets ................. 0.99%*(c) 1.20%*(c) 1.32%*(c)
Ratio of Net Investment Income to Average Net Assets .... 0.91%*(c) 2.03%*(c) (0.20)%*(c)
Portfolio Turnover Rate ................................. 0.00%* 65.38%* 0.00%*
</TABLE>
- ------
*Annualized
#Non-Annualized
(a) For the period October 3 (commencement of operations) to November 30,
1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
(c) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA VA
International Short-Term VA Global
Small Fixed Bond
Portfolio(a) Portfolio(a)(1) Portfolio(b)(1)
--------------- ------------ -----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00 $10.00
------ ------ ------
Income from Investment Operations
Net Investment Income (Loss) ....................... (0.01) 0.08 0.48
Net Gains (Losses) on Securities (Realized and
Unrealized) ...................................... (0.28) -- 0.81
------ ------ ------
Total from Investment Operations ................... (0.29) 0.08 1.29
------ ------ ------
Less Distributions
Net Investment Income .............................. -- (0.04) (0.57)
Net Realized Gains ................................. -- -- (0.11)
------ ------ ------
Total Distributions ........................... -- (0.04) (0.68)
------ ------ ------
Net Asset Value, End of Period .......................... $ 9.71 $10.04 $10.61
====== ====== ======
Total Return ............................................ (2.90)%# 0.81%# 13.09%#
Net Assets, End of Period (thousands) ................... $4,856 $5,041 $3,393
Ratio of Expenses to Average Net Assets ................. 2.52%*(c) 0.63%*(c) 1.31%*(c)
Ratio of Net Investment Income to Average Net Assets .... (0.39)%*(c) 5.11%*(c) 5.08%*(c)
Portfolio Turnover Rate ................................. 0.00%* 0.00%* 60.09%*
</TABLE>
- ------
(1) (Adjusted to reflect a 900% stock dividend as of January 2, 1996)
*Annualized
#Non-Annualized
(a) For the period October 3 (commencement of operations) to November 30,
1995.
(b) For the period January 13 (commencement of operations) to November 30,
1995.
(c) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION AND EXCHANGE:
At November 30, 1995, DFA Investment Dimensions Group Inc. (the "Fund")
consisted of twenty-four portfolios: The U.S. 9-10 Small Company Portfolio, The
U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The U.S.
Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio, The DFA/AEW Real
Estate Securities Portfolio, The Japanese Small Company Portfolio, The Pacific
Rim Small Company Portfolio, The United Kingdom Small Company Portfolio, The
Emerging Markets Portfolio, The Continental Small Company Portfolio, The Large
Cap International Portfolio, The DFA International High Book to Market
Portfolio, The DFA International Small Cap Value Portfolio, The DFA One-Year
Fixed Income Portfolio, The DFA Five-Year Government Portfolio, The DFA Global
Fixed Income Portfolio, The DFA Intermediate Government Fixed Income Portfolio,
(the "Portfolios") VA Small Value Portfolio, VA Large Value Portfolio, VA
International Value Portfolio, VA International Small Portfolio, VA Short-Term
Fixed Portfolio and VA Global Bond Portfolio (the "VA Portfolios"). These
financial statements relate solely to the VA Portfolios.
On September 15, 1995, the shareholders of DFA Global Value Portfolio
approved a change of investment policy providing for investment of substantially
all of DFA Global Value Portfolio's assets in the stocks of U.S. companies and
the sale of DFA Global Value Portfolio's foreign securities to VA International
Value Portfolio. Effective September 18, 1995, DFA Global Value Portfolio
changed its name to VA Large Value Portfolio. Additionally, effective September
18, 1995, DFA Global Bond Portfolio changed its name to VA Global Bond
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements.
1. Security Valuation: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Securities held
by VA International Value Portfolio and VA International Small Portfolio (the
"International Equity Portfolios") which are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond Portfolio
are valued on the basis of prices provided by a pricing service when such prices
are believed to reflect the fair market value of such securities. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
2. Foreign Currency: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at the
bid price of such currency against U.S. dollars last quoted by a major bank.
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement. VA Global Bond Portfolio also enters into forward
foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are also market to
market daily based on daily exchange rates.
41
<PAGE>
The International Equity Portfolios do not isolate the effect of fluctuations
in foreign exchange rates from the effect of fluctuations in the market prices
of securities whether realized or unrealized. However, VA Global Bond Portfolio
does isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gains or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represents net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. Federal Income Taxes: It is the VA Portfolios' intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal taxes is required in the financial
statements.
4. Other: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses on
the sale of investment securities are those of specific securities sold.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a VA Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("the Advisor") provides investment advisory
services to the VA Portfolios. For the period ended November 30, 1995, the VA
Portfolios advisory fees were computed daily and paid monthly to the Advisor
based on the following effective annual rates of:
VA Small Value Portfolio ....................... .50 of 1%
VA Large Value Portfolio ....................... .25 of 1% (a)
VA International Value Portfolio ............... .40 of 1%
VA International Small Portfolio ............... .50 of 1%
VA Short-Term Fixed Portfolio .................. .25 of 1%
VA Global Bond Portfolio ....................... .25 of 1%
(a) For the period January 13 (commencement of operations) to October 2,
1995, the advisory fee was computed daily and paid monthly to the Advisor
at an effective annual rate of .35 of 1%. The rate of .25 of 1% became
effective on October 3, 1995.
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
42
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the period ended November 30, 1995, the VA Portfolios made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
---------------------- -----------------------
Purchases Sales Purchases Sales
<S> <C> <C> <C> <C>
VA Small Value Portfolio ....... -- -- $4,964 --
VA Large Value Portfolio ....... -- -- 8,645 $3,304
VA International Value Portfolio -- -- 4,671 --
VA International Small Portfolio -- -- 4,796 --
VA Short-Term Fixed Portfolio .. -- -- -- --
VA Global Bond Portfolio ....... $869 $595 3,797 1,075
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities and
foreign currencies was as follows (amounts in thousands):
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- --------
<S> <C> <C> <C>
VA Small Value Portfolio ....... $188 $(347) $(159)
VA Large Value Portfolio ....... 717 (101) 616
VA International Value Portfolio 156 (131) 25
VA International Small Portfolio 158 (302) (144)
VA Short-Term Fixed Portfolio .. -- (1) (1)
VA Global Bond Portfolio ....... 139 -- 139
</TABLE>
43
<PAGE>
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies, the
VA Portfolios may invest in certain financial instruments which have off-balance
sheet risk and concentrations of credit risk. These instruments and their
significant corresponding risks are described below:
1. Repurchase Agreements. The VA Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Fund's custodian or a third party sub-custodian. All repurchase
agreements were entered into on November 30, 1995.
2. Forward Foreign Currency Contracts: VA Global Bond Portfolio may enter
into forward foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At November 30, 1995, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange gain is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
Unrealized
Value at Foreign
Expiration Contract November 30, Exchange Gain
Date Currency Sold Amount 1995 (Loss)
- ------------ --------------------------------- ------------ -------------- ---------------
<S> <C> <C> <C> <C>
12/06/95 233,191 Canadian Dollar $ 173,499 $ 171,762 $ 1,737
12/27/95 1,231,844 German Marks 875,082 850,999 24,083
12/27/95 10,828,800 Japanese Yen 107,168 106,880 288
12/27/95 411,175 Australian Dollar 304,574 305,211 (637)
12/27/95 279,015 British Pound Sterling 435,760 426,983 8,777
12/27/95 1,413,466 French Francs 290,974 283,468 7,506
12/27/95 71,981,314 Japanese Yen 713,605 711,595 2,010
---------- ---------- -------
Totals $2,900,662 $2,856,898 $43,764
========== ========== =======
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
44
<PAGE>
G. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
At November 30, 1995 Net Assets Consist of:
---------------------------------------------
(Amounts in thousands, except share amounts)
VA Small VA Large VA International
Value Value Value
Portfolio Portfolio Portfolio
----------- ----------- ----------------
<S> <C> <C> <C>
Paid-In Capital ............................................ $5,003 $5,941 $4,988
Undistributed Net Investment Income ........................ 4 15 --
Undistributed Net Realized Gain ............................ -- 2 --
Accumulated Net Realized Foreign Exchange Loss ............. -- (12) --
Unrealized Appreciation/Depreciation of Investment
Securities and Foreign Currency ........................... (159) 616 25
Unrealized Net Foreign Exchange Gain (Loss) ................ -- -- 1
------ ------ ------
$4,848 $6,562 $5,014
====== ====== ======
</TABLE>
<TABLE>
<CAPTION>
VA International VA Short-Term VA Global
Small Fixed Bond
Portfolio Portfolio Portfolio
---------------- --------------- -----------
<S> <C> <C> <C>
Paid-In Capital ............................................ $4,999 $5,020 $3,209
Undistributed Net Investment Income ........................ -- 22 (31)
Undistributed Net Realized Foreign Exchange Gain ........... -- -- 35
Unrealized Appreciation/Depreciation of Investment
Securities and Foreign Currency ........................... (144) (1) 139
Unrealized Net Foreign Exchange Gain (Loss) ................ 1 -- 41
------ ------ ------
$4,856 $5,041 $3,393
====== ====== ======
</TABLE>
H. SUBSEQUENT EVENT:
On December 20, 1995, The Board of Directors of DFA Investment Dimensions
Group Inc. (the "Board") approved a 900% stock dividend under Maryland Corporate
Law which is treated as a 10 for 1 stock split for financial reporting purposes,
for VA Short-Term Fixed Portfolio and VA Global Bond Portfolio. The record date
of the stock dividend is January 1, 1996, and the ex-date and payable dates are
January 2, 1996. This is a tax-free event to the shareholders of these
portfolios. All share and per share data as of and for the period ended November
30, 1995 and all prior periods have been restated to reflect the stock dividend.
45
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Directors of
DFA Investment Dimensions Group Inc.:
We have audited the accompanying statements of net assets of DFA Investment
Dimensions Group Inc. (comprising, respectively, VA Small Value, VA Large Value,
VA International Value, VA International Small, VA Short-Term Fixed and VA
Global Bond Portfolios) as of November 30, 1995, and the related statements of
operations and changes in net assets and financial highlights for each of the
periods then ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
November 30, 1995, by correspondence with the custodians and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned portfolios of the DFA Investment Dimensions Group Inc. as
of November 30, 1995, and the results of their operations, and the changes in
their net assets and their financial highlights for each of the periods then
ended, in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
46
